I find the VGA connector on a monitor with DVI a bit random to wether its any good or not. I have 2x Dell 2007WFP's, and used to have one on DVI and the other on VGA - I couldn't really notice much difference in quality, however DVI might have been slightly more crisp (it can also depend on your graphics cards VGA connector too).
Personally, I would use the DVI option if you have it. Having VGA as an extra source is handy if you want to plug and xbox or another PC in to it.