DVI is a pure digital signal, so it will always be advantageous over VGA for video quality. Is this a DVI LCD or CRT? If its a CRT, that may be why you don't see much difference (depending on the quallity of the display, of course).
As for the temperature, you don't mention which machine you have or what you are doing with the external display. With DVI, you're activating a part of the graphics chip that wasn't active before. If you are doing something intense, then the chip will certainly get hotter, causing the fan to kick in sooner.
Steve