Console Information

NTSC-U has the Orange Swirl, NTSC-J has the Red Swirl and PAL has the Blue Swirl

Sega Dreamcast

The console has a multi-out A/V connector in the back. In PAL based regions, the A/V cable that came with the system include the standard RF cable. This cable is actually terrible that SDA will instantly reject runs due to picture quality alone. It's best for PAL owners to find and buy a 3rd party AV cable that comes with both S-Video and the standard composite + 2 audio cables.

S-video, Composite and 2 audio cables.

With this you can connect the composite (yellow) to the TV, buy and use 2 audio splitters (white and red) to split one half to the TV and the other half to the recording device and connect S-video to the recording device.

VGA Cable

A VGA box that can be used to record 480p content.

A first for a console to support progressive mode without modifications. While it does look fantastic there are two problems you are very likely going to experience.
1) Recording games by using a VGA cable is not easy as not many capture devices supports VGA.
2) Not every game supports VGA mode .

The link below has a full list showing what games (and version) supports VGA mode
http://www.gamefaqs.com/dreamcast/916412-dreamcast/faqs/36035