HDMI (or DVI) is usually better quality than VGA.
It is all a digital signal, so avoids converting to analogue and back. Also less problems with interference etc, especially if using longer cables.
So it might look slightly sharper, and maybe better colours. Though you may not actually notice much difference.
Also HDMI can carry sound. So is useful if the monitors has built in speakers, or if you want to plug speakers/headphones into the monitor. Means you don't need a separate sound cable anyway.
HDMI cables are pretty cheap. As its all digital, no need for a fancy cable.