With the VDA-2, I'm using the Harmonic Tech Digital Copper cable that was offered during the CIAudio anniversary sale last month.
I use the DH Labs digital coax built by Moon Audio with my other DACs. I haven't compared the two coax cables. However, I can confirm that the DH Labs digital coax cable sounds much better than the Glass toslink optical cable when I compared the two with my MSB Link DAC III. If given the choice, I will always choose coax over optical. It sounds smoother and more natural than optical.