You would only need to buy a thunderbolt cable if you plan on going from your Air to a thunderbolt dock, and then to your monitor. The mdp will do exactly what you need. To your monitor, they would be identical since it would only be receiving the digital video signal. The DVI will have a very consistent picture, and the VGA may degrade slightly depending on the setup (i.e., resolution of the monitor, length/build quality of the cable, anything between the two devices)
My setup at work using VGA goes to a 1920x1200 HP monitor, and the only reason the image looks fuzzy is because of the KVM between the Windows workstation and monitor. Removing the KVM from the equation sharpens the image considerably. The DVI and DisplayPort inputs look identical to my eye on this monitor as well.