DVI will give you the best quality. VGA and VGA-to-DVI adapter can range from very nearly as good as DVI to pretty bad, depending on the quality of the cables and the DACs on the video card. VGA-to-DVI adapter is the least desirable of the three, since the extra connectors in the signal path can cause additional signal degradation (but in practice it will probably be indistinguishable from straight VGA).
The difference will be most noticeable on text, not gaming.
Nostalgia isn't what it used to be.