Go DVI if you are going to do mame with artwork at better than 1280x1024, or text at 1024x768, or anything besides mame at better than 1280x1024 res. AND you're running at the monitor's native resolution.
DVI is sharper than VGA. This isn't needed at low resolutions, or if you run at different res than native (that's not a fraction of native).
IMO, run at the native res & DVI.