Just to throw this out there, I've got two 17" LCD monitors that each have both DVI and VGA input connectors, and there is an improvement when using DVI vs. VGA, the picture is a bit clearer. It's not a difference like night and day, and if I looked at a monitor I don't think I could easily tell which it was using, but when I have my two monitors side-by-side (one on DVI, one on VGA) I can see a difference, albeit slight.
Sure, if you're just using a DVI cable to pass the analog VGA signals as nigel seems to be talking about, then you're not going to see any real improvement...
But if your monitor has a separate connector and/or you know it actually uses the digital signal instead of the analog with a DVI cable, you might find it worthwhile, especially if you can get a DVI cable for a reasonable price online. For instance, Newegg has one for $12.99 plus $5 shipping.