I stumbled over a very nice article over at MacDevCenter which explains how to use a cheap, standard A/V-to-RCA cable to direct the video output of a 5g video iPod to your TV.
That's sure something I need to try soonish! I was a bit reluctant to buy the not-so-cheap Apple cable. This guide not only saves me some money, but it's also nicer being able to use standard components instead of proprietary stuff...
Update 2006-01-07: I have tested video playback using such a standard cable today and it works fine! The video quality is quite good, too, even at 320x240 (but you can probably also have bigger videos, I guess). Using a cable which only has two connectors (white and red probably) works too, but you only get audio and no video then.