I have used both and I don't hear any audible differences, though since they pass a digital signal there really is very few differences between the two. Spec wise, the coaxial can handle more, though there are some dac's out there that have been able to get 192khz out of toslink too.
The main reason that I use TOSlink is because I'm one of those old timers that likes to avoid potential ground loops. The TOSlink cable, if built right, has no metal run all the way from end to end, therefore there is no direct electrical ground/connection between the source and the dac, so there is no chance of a ground loop between the 2.
Ultimately it's preference, If you are pushing output frequencies at 192khz or greater, may consider coaxial or even usb, but anything lower (cd quality is 44.1khz) and even up to 192 depending on your dac can be done quite well by the toslink and because both are a digital signal there should be no difference in sound as long as the cables used are adequate (not saying expensive ones, just decent, no more than 30 dollars).
The only other thing I can say is to read the dac's manual and find out how it handles jitter, some dacs are different, schiit has their own way of handling jitter through both coaxial and toslink that works very well, some dac's handle usb better due to asynchronous data transfer, so, it really depends on the dac.
Good luck :)