I don't think it is correct to say that one is better than the other. Internally the components involved will be using an electrical signal, so conversion is required to output an optical signal and take it in at the receiver. If the converter is poorly designed or made this may introduce errors or jitter, however this is largely a solved problem so if you encounter either you probably have a faulty unit and should get it replaced. In normal usage the two are interchangeable, your decision will largely be driven by the sockets your products are equipped with.

The only instances I can think of where there is a clear benefit are:

1. Transmission over longer distances, the optical part of most TOSlink leads are made from fairly low grade plastic, so they can suffer from signal smearing and aren't really recommended for transmission over 40m. The cheaper leads are known as all-plastic fibre (APF). More expensive leads have a silica core and can transmit over far greater distances. These are known as plastic coated fibre (PCF)
2. The more expensive PCF optical cables are much more fragile than their co-ax equivalent. If you are moving the equipment round a lot this may be a factor.
3. Connection to an electrically "noisy" source. Computers generate a lot of electrical noise due to all the voltage spikes as fans and drives etc spool up or down. Using an optical connector stops the noise from being transmitted as it can be over an all-electrical connection. I guess this could also help in the event of a power surge, but that is pure speculation.