You should already have the standard Nintendo Wii composite cable, this came shipped with your console and has 3 core cables - Yellow (video), Red (L-audio), & White (R-audio). This can then be put into the scart adapter (optional). The yellow lead is all the video signal down one core of coax, basically putting all the signal in one cable.
Now, you can buy a Component video cable, this has 5 cores, 3 video and the same two audio. The three video cores (Red, Blue, Green) split the video signal and create a sharper, more colourful and defined image, especially on large HD televisions.
There are also many brands/sellers of these component cables here on eBay, from personal experience, I would try and stick to the official nintendo cable, or, if pushed I would get a Venom branded cable. Definately don't get an imported one, they WILL work but...... the quality is often not as good as the original and you may not see the full benefits of upgrading your cables.
Remember to check that your TV has the correct inputs before buying your cable! They will usually be in a line of 5 phono inputs, Red (V), Green (V), Blue (V), Red (A), White (A).