The Digital Visual Interface (DVI) is a video interface standard designed to maximize the visual quality of digital display devices such as flat panel LCD computer displays and digital projectors
Video Graphics Array (VGA) is an analog computer display standard first marketed in 1987 by IBM. While it has been obsolete for some time except in the pocket pc market where it is becoming the new standard, it was the last graphical standard that the majority of manufacturers decided to follow, making it the lowest common denominator that all PC graphics hardware supports prior to a device-specific driver being loaded. For example, the Microsoft Windows splash screen appears while the machine is still operating in VGA mode, which is the reason that this screen always appears in reduced resolution and color depth.
(Taken from Wikipedia)
BASICALLY:
DVI = Digital imput
VGA = Analog imput
if you have a DVI capable monitor and video card hook it up that way... but b1gapl is right unless your doing something super graphic or pixel defined you won't notice the difference