If you are using HD graphics (1920 X 1080 or higher) HDMI and DVI will produce a better picture and more responsive performance. The HDMI and DVI connections are digital signals - VGA is analog. Not only is the details different, when you are running high FPS you will notice a big difference as well.
The easiest way to look at this would be to watch an HD video from youtube - and compare them on VGA vs. HDMI/DVI.