From Love and Limerence
Always use the best connection you can get, but in the case of VGA vs DVI/HDMI (HDMI is just DVI with sound), it isn't that big. That's actually putting it mildly. It's basically next to nothing. It literally is nothing on any CRT display (since the display is analog anyway), and it's next to nothing on an LCD. Most people can't even tell the difference. Don't worry about it. You would, however, see a large difference between VGA/DVI/HDMI and anything lower (like component, S-Video, or composite), so just make sure you stick to either VGA, DVI, or HDMI. In all but a rare few cases, you'll get about the same end results.