Yes. There are two types of common VGA cables. Both should be shielded. One is just a thin multi-conductor cable and the other will be a slightly thicker "mini-coax" style cable. Some of these thicker higher performance cables will also have ferrite beads at each end to shield out interference.
Here is a good reference link:
http://www.showmecables.com/showProducts.asp?category_id=234