Yes, put plainly a SATA cable would allow faster data transfer.
As far as connections you would need a computer with a E-SATA port. If were talking external hard drives E-SATA maybe faster but USB is a lot more popular; if your using the drive on different machines you have to think "Will they have a compatable port?" USB ports are near enough standard on PC's now.
I have a Dell 518 Inspiron that's about 2 years old. The users manual states that it has a 1.5Gbps and 3.0Gbps SATA bus but there are no external connectors so I'll plan using the USB interface when the time comes. Thanks for your help.