My old HU did not have a method of direct connect, so i just use the aux input. I could definitely head a difference in quality (not just sitting in the car, large enough to notice when driving as well) when i had that setup (pioneer 680mp, or 860mp, i dont remember which one, couple yrs ago). My HU im currently using has connects to the dock on the bottom of the ipod, and i dont seem to notice any difference when using it and controlling the ipod through the HU's interface (although i have not just sat in the car and listened, but it doesn't seem noticable when driving).
I know people may say they hear a difference, and their might be an audible difference with a more sq setup (mines in my sig), but i doubt the average person will hear a considerable difference while driving when road noise and other factors come into play. I guess it might depend on the HU as well too though (my current one is a eclipse, don't remember the model #).