I have a Z2. The Z2 is 720p, so you should feed it a 720p signal if possible. It will accept 1080i, but will convert it to 720p.
I use DVI from my Momitsu DVD player. It is clearly better than component for this player. YMMV.
For my HD cable connection, I use 720p component. When I tried it via DVI, I got "sparklies" (long DVI cable). HD cable looks spectacular via component.
So in my situation, it was an easy choice!
My advice, if either (or preferably both) sources can use DVI, get a cable and try it! Experiment to see which source looks best with the different connections.
Oh yeah... the Z2 will accept DVI-I, so as long as the source device can accept it, a DVI-I cable will work fine. I use a DVI-D cable for mine.