Well, HDMI has built-in audio support for monitors that have speakers. HDMI/DVI-D both also use digital signaling instead of analogue signaling like VGA uses. That's not necessarily an advantage, but it's theoretically a small advantage. I suggest using HDMI or DVI-D, but that's not to say that VGA is inherently much worse in any way. There's no more reason that VGA wouldn't work than there is that HDMI or DVI-D wouldn't work for you as far as I'm aware.