So I'm going to build a computer and i wonder, if my power supply doesn't come with a 8-pin cpu connector, can I use the 8 pin connector you use for your Graphics card? Or is there really any difference between those cables?
They are different, so no you cannot. Any quality power supply will have an 8 pin or a 4+4 pin for the 8 pin CPU connector. Whatever you do, make sure you get a good PSU. EVGA, XFX, Corsair, Seasonic, to name a few.
Your PSU should at least have a 4 pin CPU connector. You can use that in an 8pin, I just wouldn't overclock with just a 4 pin. Check your motherboard manual to see if this will work. If your PSU doesn't have an 8 pin CPU power connector and just a 4 pin I personally wouldn't even use it.