BNC connectors are ever so slightly better for high frequency (high resolution) video signals, but it's not a huge deal. Sun and SGI used to use the 13W3 connector for video since it let them have 3 mini-coax connectors as well as the other lines for sync, detection, etc. all on one connector. The PC industry settled on just using the HD15. It was good enough, and really, you're not going to notice a difference.
However, there are a lot of really crappy VGA cables out there. The construction method of a BNC breakout doesn't as easily lend itself to the creation of such low quality cables, so you have less of a chance of getting bitten by that with a BNC breakout. Ideally, the cables would be constructed the same way just with different connectors.