It's not very expensive for the connector, you just need something like
this.
I find that on my Sony LCD, the DVI connection is superior quality and no fuss. Pretty much all I have to change is brightness, contrast, and color temperature if I really want to. Everything else is automatic with DVI.
So for the price I say go for it.
As for the cable, I have a few extra DVI-D cables that I don't need and could certainly part with one. One fewer loose cable in the house is a good thing. If you want it, let me know and I'll drop the thing in the mail tomorrow.