As jgantert pointed out, there seem to be an issue with HDMI to DVI conversion specific to Toshiba HD-A2 player: for some TV sets it fails to allow resolutions above 480p. (Just Google for "HD-A2 DVI".) Not everyone experiences this problem, and there is a hope that the problem will be fixed with a firmware update. If your setup has this issue, component cable will be your best choice until the issue is fixed by Toshiba.
There is also another issue with HDMI to DVI conversion the way it is done with Toshiba HD DVD players: color reproduction may not be very accurate (wrong colorspace used at least in some cases), but this problem is less significant compared to the 480p resolution limitation.