The component cables to connect the Nintendo Wii to a high def tv can be found at these places at launch:
Circuit City, GameStop and Best Buy
For some reason a lot of other sites are reporting that these cables will not be in stores until December after the Wii ships, I will update this post with more info when there are new places to get the Wii high definition cables.
More info From joystiq
IGN Reports that there will be plenty of component cables to go around.
IGN Wii: What's up with Wii component cables? When can we get them, and how?
Perrin Kaplan: The component cable is going to be sold online and it's also going to be at three retailers. So Circuit City, GameStop and Best Buy. They'll have it online and they'll have it at retailers.
IGN Wii: Oh great, so you'll be able to walk in and buy them at those retailers? Fantastic.
Perrin Kaplan: Yeah. And we did that just because we knew that you were being really grumpy about it. Just kidding! But we knew you were really worried about it.
UPDATE: So Wii has launched, and there are still no component cables to be found. People are paying over $100 for them on ebay. Several companies are planning on releasing their own Wii component cables, but there is currently a shortage of wii hdtv cables. If you want to play wii in high def you may have to wait a few more weeks for Nintendo to get things in to gear with their wii high definition cable supply.
I will keep updating this post as I find out more. If you can't wait, it looks like ebay is your only option.