There are multiple nightmares. The only inexcusable one is that the 360 is built in a formfactor too small to dissipate efficiently all the heat it produces, compounded by soldering instead of socketing the CPU. If heat builds up too quickly, it will soften the solder, and you'll get hardware errors. I've seen a video of someone fixing their 360 by basically reconditioning the solder with nothing more than hot air. Give the thing plenty of room to breathe, and if you want to be anal, never power it off in the middle of a demanding 3D game. Use the big controller button to go back to the dashboard, and let it sit there for a while.
Another nightmare is the transition in display standards. Not only are cables an issue, but so are resolutions. Even after you get everything hooked up right, you need to tell the 360 to use an appropriate res. For VGA, chances are nothing will match the native res of your monitor. (I'm assuming widescreen LCD here.) I find that 1280x768 works as well as anything non-native can be expected. Then, unless your monitor is fancy enough to allow a fixed 16:9 aspect ratio with mild letterboxing, you'll come to realize that everything is slightly stretched vertically. Widescreen VGA monitors are 16:10. You'd think that's close enough (I did). But it's not. It's a very noticeable stretch, and if you're as picky as I am about correct aspect, you'll come to hate it. I eventually gave up on the monitor, and got a 23" 16:9 LCD TV for it. Component inputs.
Third nightmare: The 360 outputs DTV colorspace, regardless of connection method. VGA color space is wider. The result is washed out colors over VGA, unless your display device specifically compensates for the difference. Colors over component inputs are typical much richer, saturated.
Fourth nightmare: audio. If you use a PC monitor, then of course your audio consists of PC speakers. These have a male stereo miniplug. The console's audio comes out via twin male RCA plugs. No mating possible here. My logitechs came with the right adapter, but that's unusual, and I didn't know it at the time. I spent a good deal of time rummaging through the Microcenter bins, and finally found a combination of 2 adapters that would work.
On top of this, your PC monitor and speakers likely need to work with your PC as well. So now you need an efficient method of switching back and forth. What I did initially is get a simple mechanical VGA switchbox, and a stereo miniplug extension. To go from one source to another, I'd flip the VGA switch and manually pull one plug out of the extension and insert the other. Now I let the TV do all the switching. The PC speakers are hooked up to the TV audio out. And the TV takes VGA as well as component, so it's also my 1360x768 PC monitor. It all works quite well, even if the res isn't as high as I'd like for this much screen area.
