jcalmon,
While it takes some looking through, this article discusses which video out accessories work with which iPods and the iPhone.
http://docs.info.apple.com/article.html?artnum=300233
A couple things to note, the iPod Universal Dock is an older dock that is not longer sold by Apple, but a few resellers may still have, and does not work with the iPhone. If you want to use video out with a dock you need the Apple Universal Dock. I would also recommend getting the inserts for the iPhone so that the iPhone fits correctly on the dock connector in the Apple Universal Dock.
When using the component cable, your TV must be configured to display the correct resolution. If the TV is set to 720p or 1080i HD only, it will not display the video output from the iPhone.
Hope this helps,
Nathan C.