HDMI is the best, but it has some things to pay attention to that the others do not. The most important is that HDMI is a two-way communication spec, and the monitor and signal source have a fairly long and meaninful conversation before anything gets put on the screen. This means that sometimes a monitor will fail to communicate properly with whatever it's hooked up to, and you'll get nothing on the screen. My Sony TV and my satelite box used to spend five minutes negotiating before I got a picture and sound over HDMI. I switched to using a high definition video cable set, and the picture comes up now in seconds.
So, HDMI is "the best" but do your research before you spend a bunch of money on expensive cables. You might find one of the other methods is actually better for your situation.