The optical is considered the best, as long as it's a quality brand I suppose (like anything).
Is it coax or AV cable? I think you mean the single AV cable which is the simplest way and possibly the cheapest. Components are the next best thing for video or picture as Mat said too. Not sure on HDMI, so is that a new cable set-up? Must look into it. The last I checked on all this, I was setting up my new surround sound and DVD etc.
I use the Optical for my PS2 as my DVD player doesn't have the outlet for it. Seems pretty sweet. I use the av type cables for my sound, seems fine. I do have 5 channel surround though which probably helps.