Analog Connection: Different digital players employ different DAC circuits as well as after-DAC buffer amps. Depending on the model used, the DAC of the player may be superior to that in the Receiver or Preamp, so you are better off using the player's DAC, hence an analog connection may be better. Also, those after DAC buffer amops have been known to introduce their own sonic coloration that makes different digital players sound slightly differently when using analog connection. Because of this coloration, some may unwittingly prefer analog over digital connection.
Digital Connection: Use this if you know that that DAC of the receiver or preamp is superior to what you have in the player. Use only coax cables that are 75 ohms, those typical RCA interconnects ar enot 75-ohm cables and may cause bit losses or degradation in the transmission. Bear in mind that the industry standard for S/PDIF signal transmission requires 75-ohm coax cables. Using optical toslink cables can be an option as they are impervious to electrical interference over long runs, (though there is still an optinum limit.) Digital signals have been known to suffer losess and errors over long runs of coax cables.