Well, DVI is always better because the signal starts out digital, stays that way, and ends up digital. Going via the VGA cable means it starts out digital, gets converted to analog on the card, travels to the monitor in analog and gets converted back to digital by the monitor for display.
Usually there is very little difference but there is the possibility of noise being introduced into the picture or bad conversion hardware (mostly a thing of the past though)..
Never tried it for games, but my 17" LCD here at work is fine (plenty sharp) even at max resolution (1280x1024) with a VGA cable.
Mike.