The cradle doesn't come with cables so you'll need to add those yourself.
The cradle outputs S-video + RCA, so you'll need a 2xRCA-to-2xRCA cable for audio and an S-video cable for video. If your TV set doesn't handle S-video (many European sets don't) you will need a S-video to Composite converter (the ones that you get with PC video cards won't work, they're not converters) and a 1xRCA cable for video (or a 3xRCA (yellow, red, white) cable for both audio and video). Those usually attach to the Camcorder input on the front or side of your TV set.
Additionally you'll probably want a power adapter for the cradle to provide power to USB gamepads (battery drain will be horrible if you don't). An adjustable power adapter with exchangeable tips and reversible polarity should do. Info on exactly what power specifications (voltage, polarity) are needed can be found elsewhere on the forum.
Also don't forget to enable USB Host in the GP2X, along with Mass Storage and Human Interface support, or the GP2X won't find the stuff you plug into the USB ports. Some USB devices are not supported. Some emulators don't support USB inputs, some don't support TV-out. YMMV.