they do.

all mac laptops have dvi out, which includes vga, composite and s-video on the same port. the macbook pro has a standard dvi plug, while the macbook and macbook air have thinner plugs (mini-dvi and micro-dvi) due to their form factor.

for vga, all that's needed is an adapter cable, and that's included with the macbook pro & macbook air, but it is optional for the macbook. for s-video and composite, the adapter is optional.