Like he said above the stock unit 1000 can't do it, it's just different inside or the firmware could be blocking it. Whatever the case is 2000 and later will do it, and keep in mind it's weird about it. The games will display with a big old black border on all sides eating up maybe 20% of the possible view area, yet if you use it for pictures or UMD (or on memory card) movies it's full screen.
I used to have both the 2000 and 3000 models and I would run the cable to my 26" LCD I had at the time and it was fun. I'd find movies often enough for like $1-3 so I had a nice stash of a couple dozen, and it was cool running various games through the TV as well. Games looked just amazingly nice, fairly close to PS2 quality in the box, and the movies as long as they weren't crappily done or overly due to movie length compressed (pirates of the carribean) they looked clean.