DVI 100%. I can use almost any monitor natively or with a simple $5 adapter.
Dual-Link DVI is my preferred connection for up to 2560x1600 resolution.
DisplayPort/mini-DP is nice, it produces a crisp (and higher) resolution images via a relatively small jack. I prefer the physical durability of the DVI connection though.
Also, DP uses a different color model(or color range?) to DVI, so on my WQHD display, I need to assign different color profiles between DVI and DisplayPort to produce similar results. I would have preferred the color output to be the same across ports. Maybe it's just my display though.
VGA is only acceptable as a fallback for when you run out of DVI ports. If your display can handle DVI, HDMI or DisplayPort, don't go using VGA just because it's the most convenient option (as in you already had a spare cable), invest in a DVI cable to see the best image your screen can produce.
Lastly, on my Macs, I haven't been able to get the WQHD resolution out of HDMI, it seems to be restricted to 1920x1200. I know there were changes in the HDMI standards which support higher res, but either way I couldn't get the same results as DualLink-DVI (or mini-DP/DP) on my Mac Pro or G5s.