It's much better
The lead which comes with the Wii is a bog standard composite video lead (yellow RCA phono plug) with a SCART adapter.
Composite is the worst way to connect.
Better than composite is RGB SCART.
And... better than that is component video (red, green, & blue RCA phono plugs). [link in Jefferson's post above]
Although the Wii isn't HD like the 360 or PS3, component still gives a much better picture than composite or RGB SCART, plus if you use component you can set the Wii to 480p (progressive scan), which is better than the standard interlaced picture you would have with composite or RGB SCART.