An odd question to see in the Freelancer forum, but then again thats just me
It is better to use the DVI connector because you sometimes get signal degradation when the digital signal is converted to analogue (depends on a lot of issues i.e. hardware, and wether it can be seen). Because LCD Monitors are inherently digital in nature (although a lot come with VGA cables, not DVI) an incoming analogue signal has to be reconverted back into digital... whereas if you use the DVI output with a DVI cable to an LCD screen, there is no conversion to analogue and no loss which can result from the conversion.
A great article on this subject can be found :
http://www.anandtech.com/video/showdoc.html?i=1577