A TV picture has 480 lines of resolution. The way conventional TV displays these lines is called "interlaced" scanning, where the electron guns in the picture tube draw first the odd numbered scan lines, then the even numbered scan lines. This happens so fast, you see a complete picture without realizing what's happening.
Progressive scan DVD players put out all 480 lines of resolution in order. This is how computer monitors work, and it essentially doubles the amount of picture information getting to the TV screen at any one time. The image is much smoother.
However, to take advatage of a progressive DVD player, you need a TV capable of displaying a progressive image. In the United States, this pretty much means an HDTV.
If you don't have an HDTV and don't plan on getting one in the near future, save your money. Progressive scan technolgy is changing rapidly, so by the time you upgrade your set, you're likely to be able to get a better player for less money.