HDMI, Coax & Optical are all digital connections and CD data can be passed down them equally perfect. That will be converted to analog by the receiver's DAC.
An analog connections means that the DAC in the CD player is the one that has to be used. It's also vulnerable to interference once the signal leaves the CD player, but that may or may not be a factor.
One DAC might sound better than the other. Or they might be indistinguishable. Depends on the models in play. If one is notably newer than the other, it is probably the better of the two.
If you're doing any sort of room correction, staying digital to the receiver is probably the better choice. An analog signal would have to be converted back to digital for Room EQ to be applied, and then converted back to analog again. There migth be a digital resampling on the digital path too but that's far less likely to have potential effects (or as large) on the final output.