USB and MIDI are digital signals. They are used for keypresses, program changes, etc. (although you can "record" a midi file of keypresses, rather like a player-piano roll.) This will playback perfectly on another MIDI instrument, but with that instrument's voice capability (i.e. played back on a cheap DP it may sound worse, on an expensive one it may sound even better).
RCA, 1/4" and headphone are all audio-out signals. None of these is particularly better than the others, although professional audio connections (e.g. XLR) are cleaner than what a home instrument would have. Typically 1/4" or rca ("Audio Out") will be at a low level designed to feed into an amp or mixer. Stereo will be split into separate jacks. The Headphone jack goes out at a higher level to drive headphones and has a single stereo plug. If you're recording from this, be careful of your volume levels, so you don't overdrive your input.
Recording is a complex topic, and there is loads of material on it.
Cheers