Yeah, DVI does give a better signal since its a digital interface. Many monitors support this now, and many video cards do also as you tend to get a VGA port and a DVI port with a card.
This has an advantage also though for someone with two VGA monitors, since DVI has the capability to hold Analog signals too or in other words VGA, and so you can connect two together to get dual screen (Needs a special adapter that may come with your card. Using this method doesn't improve quality over standard VGA)
If you have a digital monitor though, like TFT, or even LCD ones I think would, maybe some CRT ones too, put it into the DVI instead.
I hope this helps