There are several Svideo cables for the PSX, but in my opinion that little AV adapter in the first post is the best. It has some pretty high quality connectors, and you can hook up some high grade Svideo and stereo connectors to it if you choose.
Also, it is a must if you have a Guncon 1. It has to be plugged into the composite video out, and if you are using Svideo this is the only way to do it. Also, if you use component instead that box has a passthrough, so you can still use a Guncon 1 with component out perfectly. That's the reason I have one.
The Dreamcast does have Svideo available, and I definately recommend it. If you can get your hands on the official Sega VGA box it has VGA, S-Video, Composite, and RCA outs on it. There are regular Svideo cables too that can be had for a lot less.
I have a Monster component cable out of my Xbox because I couldn't find the official Microsoft kit. I know what you are saying, it's good, but the video signal isn't nearly as clean as the PS2 signal. I'm not certain it's the cables though, my PS2 cables are Monster as well. I'm not a Monster whore, btw, they were the cheapest cables I could find on Ebay when I got the new TV.
Microsoft's official Xbox cables are called "HD packs" or something like that. They were little boxes much like that sony one where you could plug your own cables into it. The older one had Svideo and digital audio outs, the newer one had component out too. It's easy to find the Svideo ones, hard to find the component ones. I've never gotten my hands on the component pack, but the Svideo pack was good stuff.
*edit*
I just noticed you compared KOF 2002. I haven't played that game, but in general the Xbox ports of Neo games are blurry as hell compared to the PS2 versions. I guess it's the graphical filter. The AOF collection uses scanlines to make the image look almost exactly like the Neo original, the Xbox Neo games I've played just blur the images all to hell instead.
