First up, PS2 definitely doesn't have HDMI Perhaps you can play emulated PS2 software through PS3's HDMI, but i'm not positive on that, and it would surely look shit if you could.

Next, VGA is better than S-Video. Dreamcast VGA requires a VGA box though - en.wikipedia.org/wiki/Dreamcast_VGA

VGA/Component are effectively the same - you'd struggle to tell the difference unless side by side.

So when alls said and done, it depends how many slots your LCD has of each!
Strangely enough, i have all the systems you're talking of and this is how mine would be setup if half of them weren't packed away!
- Wii and DVD player through Component (Wii looks shocking on anything less)
- Dreamcast, PS2 and Saturn through S-Video. You could do PS2 on Component, but i'm guessing you don't have more than 2 sets, and PS2 tends to look a bit jagged on the better connection.

Play-asia.com used to stock a variety of 'spider' cables that are basically a single S-video plug, with extensions for most of the major consoles - but i can't seem to find it now. This is a good option if you have limited sets of slots though.