What method do people use to game in RGB?

I just plug it in directly into the telly. It looks fine.

For any console (pre HDMI) RGB Scart cables to RGB Scart CRTs, look fabulous!

For retro gaming I use a Wii with emulators of various consoles. The Wii is an excellent retro gaming console because it can output 240p and looks really next to perfect. Never thought playing NES in RGB 240p would look so great on a CRT.

Composite Video for me til I get the Component Cable Adapter

I use an XRGB-3 connected to a Sony GWM-FW900 24" flatscreen CRT monitor (the holy grail of computer monitors). The picture quality is nothing short of outstanding (with properly tweaked settings on the XRGB-3, of course).

Is it really necessary to have caps and resistors on RGB cables? I took some shielded cables and soldered them up to a DIN-9 (with a 100 ohm resistor on sync) and they work, although I do notice on occasion the colors seem to change up a bit, and sometimes the screen does become a bit shaky (but it does this on composite as well, so that's probably the TV). I'm new to using a PVM, so there may be some settings I need to tweak on it, but can I fry the video port or chip by not having the caps people put on the SCART RGB cables (mine are using RCA cables that have BNC converter plugs connected).

I've got a fairly decent Sony CRT, hooked up via custom made scart (with stereo cable) for my model 1. Can't fault it.

My Genesis set up:

Model 1 'Hi-Def' NTSC Genesis with the video trace severed from the CXA chip (completely eliminated blue signal jail bars).
Coaxial-shielded RGB Sync-boosted JP21 cable from Retro_Console_Accessories.
Framemeister with my custom profiles for integer scaling at either 4x or 5x.
HDMI 1080p output to Sony A/V amp/receiver.
Sony 55-inch 1080p display.

Picture quality is crystal clear with beautiful integer-scaled pixels. Sometimes I will just let Thunderforce III run on it to marvel at the PQ.

I use RGB SCART to Component. The deinterlacer in my tv isn't great. Sometimes it makes mistakes cause it doesn't understand 240p, but is generally ok. The result is still a lot better than any other option readily available to me.

All of the above!

Emulation

I typically use emulation if I am going to play a game but my oldest son is a retro game collector and has been using 3rd party component cables.