If you have a thunderbolt motherboard, you can use the connector on the GPU or the motherboard. If not, always use the GPU connection.
I've got the 27" Apple Cinema Display, got it specifically so it would also be compatible with my Windows machine. (I'd much rather have total compatibility than an ethernet and firewire port and one less connector, the display is exactly the same, still has magsafe, and still has the same great IPS panel).
Works great on Windows 7. My Windows PC has a 7970, and connects to the 27" Cinema Display and another 23" display. I use the Cinema Display mostly for photo editing and that sort of thing, but, gaming on it is pretty awesome too!