What's better out from CD player: coax or optical?

Try them both and let your ears tell you.

The main difference is coax has a higher bandwidth. But they are both very high and you probably won't notice the difference.

Coax lows - optical highs

there is a greater variety of coax digital cables than toslink, which should increase the probability of finding one which will do a better job than a toslink.

i believe it also depends upon the particular dac and transport. i have always preferred coax