So to use the VGA cable from Sony, you need...
1) The VGA cable itself... (Very rare, and was only sold with the Linux Dev kit)
2) A sync-on-green monitor. Only about 15%-20% of the monitors produced have this ability.
3) A game that runs in progressive mode.
4) A game that allows you to blindly switch modes if the game doesn't understand the VGA cable.
Now the other option is to use a PS2 component video cable instead. However, this does not output RGB and Sync, it outputs YPbPr (luminescence, blue/luma, and red/luma) This video format is completely incompatible with VGA and must go though a converter box to be turned into an RGB signal. The problem is you will not get the clarity of a straight VGA signal, but it at least supports both interlaced and progressive modes.
If you want to be REALLY cool, you can also grab the raw RGB, Hsync, and Vsync signals right off the EE chip and pass it though some filter caps so you can have a true VGA signal, but that's being a little drastic.