My Samsung Galaxy S has settings for TV-out, but I don't see anywhere to plug any cord from the phone to the TV.
How can I connect it to my TV?
According to this blog post, you need a 3.5mm -> RCA/Phono cable, and it goes in the headphone socket of the phone.
See this page for the Galaxy S's standard TV-Out cable as sold by Samsung, this plugs into the 3.5mm headphone port on the phone.
It can also output HDMI via an adaptor that plugs into the micro-USB port, though this has the obvious disadvantage that you can't plug it into power to charge at the same time as playing.
Don't forget DLNA using the AllShare app, if your TV system supports it.