It depends on the player you are asking about, and for that matter on what receiver is at the other end of the HDMI cable. The biggest factor is where the DA conversion happens and how well it happens, although other considerations such as room correction can also have an influence. Typically, folks will recommend HDMI, but it isn't always that clear-cut.

In my BDP-83 review, I noted that I found the BDP-83's analog output to compare extremely well with the HDMI output when connected to the Onkyo PR-SC885. The 885 is no slouch (Burr-Brown DAC's and Audyssey room correction deserve some respect), but the BDP-83's stock Cirrus DAC's (the high-end offerings from Cirrus, making them pretty comparable to the TI/Burr-Brown chips in the 885 even if they don't have the name recognition) and some reasonably decent room acoustics were enough to prevent the HDMI connection from winning. In fact, for CD's we preferred the analog connection.