I've conducted a side-by-side comparo with my Palit 9800GT on two LG W2353V-PFs where in one is connected via DVI and with VGA on the other.

Granted, I'm no digital visual arts expert but I experienced neither a performance lag nor a boost between DVI and VGA on a side-by-side comparison in games (I used Mass Effect and Fallout 3 for their in-game cinematics) and in movies/video clips (low-res .flv boxing clips straight from youtube and their .mkv counterparts).

That said, I noticed a little bit of "softening" of images with VGA, they seemed to be duller in comparison to the DVI.