I recently obtained a Dreamcast VGA cable from Racketboy.com (A website dedicated to retro gaming that I highly recommend both as a source of information and as a community) and I would like to share my thoughts on it.
The Dreamcast VGA cable (A.K.A VGA adapter or box), pictured above, is one the best ways you can get the most out of your Sega Dreamcast and should not be overlooked by anyone looking to experience all the DC has to offer.
What is it?
It's a means for you to play many of your beloved Dreamcast games in their native 640x480/60Hz resolution. You might be thinking, "Isn't VGA the cable I've always used to connect my computer to it's monitor, even the old CRT computer monitors?" Yes, that is the case, but the difference is that what I've pictured above could be thought of as more like an adapter than a cable, because you will still need a VGA cable to use it. If you have both, you will be able to hook your Dreamcast into PC monitors with VGA input, which includes those older CRT monitors (the ideal option for those of us who want to play DC light gun games in the highest resolution possible)
You plug one end of the VGA cable into your Dreamcast, plug the other end of your adapter into a VGA cable, and then plug the VGA cable into a VGA input on your monitor (or perhaps an HD TV with VGA input - that's what I happily use), and you now have the ability to play Dreamcast games in the highest possible resolution. Notice what both ends of a VGA cable look like below:
How does it work?
Dreamcast games display in either 640 x 480 resolution or 320 x 240 resolution, with many of them displaying in 640 x 480. The Dreamcast has the ability to natively output in 640 x 480. You may now be wondering, "if it displays that natively, why do I need the cable?" Well, the Dreamcast originally came packaged with what are commonly described as composite (or RCA) cables.
Composite (RCA) cables have a yellow cable (the composite one - called so for combining everything that makes up the video signal into one cable) for video and both a red and a white audio cable for two audio channels. If you use these cables, you may notice your Dreamcast picture is somewhat blurry. Without getting into all the technical aspects of it I will simply say that for analog picture quality you should remember that RF < COMPOSITE < S-VIDEO < VGA, and composite (RCA) cables cannot carry the full resolution that the Dreamcast can display, but VGA cables can.
What about Audio?
VGA cables do not carry audio. So what are you going to do for audio if you upgrade your Dreamcast to VGA? The Dreamcast VGA box I'm using has an audio out jack located on it. Notice the hole below where the cable is protruding:
You can hook a pair of headphones into this or go all out and hook up a nice pair of PC speakers (I recommend Logitech), especially if you've got your Dreamcast hooked up with a PC VGA monitor. Maybe throw the DC keyboard and mouse into your set-up as well, but I digress.
Why should you care?
If you're thinking about upgrading to VGA, then you're probably wondering about the difference in image quality. Below I've thrown up a comparison screenshot using Soul Calibur on a Dynex 720p capable HD Television.

I recommend clicking on the picture and zooming in to see the differences at a much larger resolution. Notice that the VGA picture is much crisper and less blurred. This is especially easy to notice when looking at text, but is also evident in the textures. It's difficult to convey how much better your higher-resolution games will look simply through side-by-side comparison, as the true difference really shined for me when I watched the opening cinematics in Soul Calibur and Shenmue.
That being said, games which display in 320 x 240 are often so crisp through VGA that the pixels can be more noticeable. You might notice this if you play Marvel vs. Capcom or other Capcom fighting games. However, if you prefer a slightly blocky look over a blurry one, then the VGA cable won't steer you wrong.
Does it support all Dreamcast games?
Unfortunately, there is a small number of games in the Dreamcast library which are not supported. However, most of the supported games have either VGA box, or VGA cable listed on the back of the packaging as seen below:
There are also some games which do not list VGA support on the back but will work with VGA regardless, such as Sonic Adventure:
If you are unsure of whether you're game will run with the VGA cable, I recommend simply checking with Google. If a game is not supported, it simply will not boot when you start-up the Dreamcast and you'll have to use your standard RCA cables (or RF but I advice against that).
Where can you get one?
http://www.racketboy.com/store/sega-dreamcast/dreamcast-vga-cable-box.html
This is where I got mine and it's proven to be quite worthwhile.
I recommend getting the same one I did as it has proven very durable, and doesn't have trouble displaying the image. The price is also quite nice considering you really don't ever find them for cheaper than that - not even on ebay. Keep in mind that you will also need a VGA cable, but those are pretty cheap (You can get ones that are insanely long - like 100 freaking feet - for less than thirty dollars if you search a bit online).
There are other VGA boxes/adapters out there, but I've heard from a couple sources that they can be fidgety when you plug them in, making the picture hard to keep from going out (referring mostly to the Blaze brand).
Another option is the VGA box with S-Video & RCA sold on Racketboy which allows for multiple inputs in case you want the convenience of having all those options attached to your Dreamcast. This could prove convenient if you have and play any of the games which do not support VGA. There are also official Sega one's out there, but they demand pretty outrageous prices, and the one's on Racketboy do the job just as well.
This is one of the must-have accessories for the Dreamcast if you're serious about getting the most out of your games and I highly recommend getting one.