The cable packed in with the Cube is a composite one. An RGB cable allows for a much clearer picture and I really think this is an underused option, the difference is quite big. If you've played RGB-less all this time, then you've really missed out. Buy a third-party one (only €10,-) if you want to use your surround system.
And if you wanna use progressive scan, you'll need a component cable but I'm not sure if that works on PAL games.