What cables are best with hdtv?

Bought a 40" Samsung LN-T4061F today for $700. Pretty excited about it but I hooked it up to my DVD player and the picture doesn't look like I expected. I'm using the multi color 3 cables which are compononent but when I called best buy about the picture issue they told me I need HDMI cables. Do I have to use HDMI and am I doing anything wrong? All I have connected right now is the DVD player to the TV and I have cable from my wall outlet to my TV. To be honest the cable picture doesn't look good at all so I may call and see what's going on there unless I have a bad TV?