All CDs and DVDs store audio data in digital format, which has much better sound than older analog formats.
Most CD players use a digital-to-analog converter (DAC) to convert the digital data to analog format for transmission over standard RCA audio cables.
Whenever possible, it's better to keep the audio signal in digital format as long as possible—which means using a digital audio cable to connect your CD/DVD player and your A/V receiver.
Digital coaxial cable transmits the digital audio signal electrically, over a coax cable with RCA connectors on either end.
Digital optical cable transmits the digital audio signal as pulses of light through a fiber optic cable.
Newer HDMI connectors carry both digital audio and high-definition video signals, as well as control signals, over a single cable.