There a several things you should consider. First, what type/model of HDTV do you own? Second, do you currently own a (non-progressive) DVD player? If so, have you tried it with your new HDTV? I, for one, am getting tired of the marketing hype where they always mention "progressive scan DVD player" and "HDTV" in the same breath as if the new HDTV "REQUIRES" it. You may not necessarily benefit from progressive scan depending on your other components. If your new digital TV has a high-quality line-doubler built in, you may be surprised how good the picture from a "standard" DVD player can look, especially when using a component video connection. Chances are you were not taking full advantage of the performance potential of your current(non-progressive) DVD player if it was connected to a standard (NTSC) television.
All DVD players must perform some sort of "in player" letterboxing to downconvert anamorphic DVD's when connected to an analog (non-HD) 4:3 TV set. Many models get poor marks for how well they perform this funtion and the results can be an overly "soft" image or other artifacts in the resulting video. However, these same players can look much better when connected to a 16:9 HDTV. You will then bypass the player's "in-player" letterboxing circuit (by selecting "16x9" in the players's setup menu) and it will properly display the full resolution available in anamorphic "enhanced for widescreen" DVD's on your new set. It will, in effect, "open-up" the player's full video potential.
UncleJeff is right when saying beware of some budget-priced progressive scan players. The de-interlacing they perform may be much worse and produce more artifacts than a quality line-doubler built into many of the late-model HDTV's available today. It really depends on your specific equipment/system. If you run a cheap DVD player in progressive mode, it will bypass the monitor's line doubler. If the set's built in line doubler is of higher quality, then you should feed it an interlaced signal to take advantage of it. Test it both ways to test which picture you prefer. The DVI output provided on some recent DVD players can be excellent, but the benefit is seen most on fixed-pixel displays (such as plasma, for example).
By the way, you might want to save your DVI input on your set for connecting your HDTV tuner box to take full advantage of the HDTV signals' higher bandwidth. (Most of the current crop of HDTV's provide only one DVI input except a very few models that provide two DVI inputs at this time.) or unless your TV has the digital tuner built-in.
My $.02 ;~)