I think it really depends on the quality of your reciever vs. the quality of your player.
For instance, I have a Denon AVR 2803 and a Denon DVD 2900. The DAC's in the 2900 are superior to those in the 2803. To that end, I connect the DVD to the receiver using both analog and and coax. Coax is for DVD playback, and the analog connections are for CD playback. By connecting the DVD by analog, the signal is converted by the DVD player before reaching the receiver.
Ultimately, you will want to try your CD playback both ways (coax/optical and analog) and see what sounds best to you.
BTW, when I use the coax connection for CD playback, my reciever has two modes for two channel listening, 'direct' and 'stereo'. The former uses the least amount of processing possible, and the latter uses the bass mangagement and such, circitry.