Like wush said, they are both SPDIF
As for the cable,
Optical advantages:
Immune to electrical interference, really unlikely to be a problem in your typical house unless you intend to run it under your washing machine or something
Optical disadvantages:
Usually more expensive.
Quite easy to knacker the cable if you kink it.
Co-ax advantages:
Cheap as chips, common as muck 75 ohm cable.
Rugged.
Co-ax disadvantages:
Not totally immune to electrical interference, but you really would have to be trying for it to be a problem.
Quality is the same for both as they carry identical bitstreams.