I think there is some incorrect information in this thread. Anyway, I can report what DOES work since I have one of the new 8GB nanos. I also have one of the old AV docks that has the s-video port on the back (along with a 1/8" stereo output port and the standard 30 pin iPod port). The video works great with this combination, I'm watching one of the iTunes videos (TV series) right now using the nano and my AV dock (using a standard s-video cable between the dock and my TV).
In any case, in a few weeks Apple is supposed to have some new AV cables that can connect either to the new universal iPod dock (over the 30-pin iPod port) or directly to the iPod classic, iPod nano, or iPod touch (using the 30-pin port on the iPod). Thus you can use the cable directly to/from the iPod or connected to the new dock. These new AV cables will be available in both composite (singe carrier/plug for the video, interlaced format) or with component video (the latter with three carriers/plugs for the video and offering progressive output to HD TVs). You have to choose which cable you want, they're separate products.
I'm not certain why Apple isn't offering an s-video cable since that output (from my AV dock) seems to work fine. However (caveat), Apple doesn't list s-video as supported with the new iPods, so don't expect to be able to go back to Apple and complain if it doesn't work for you as I've described above (using the "old" AV iPod dock).