IMO a good VGA cable should be thick. That's because RGB signals should each have it's own coaxial cable - it's not about shielding (though that is very important as well) but signal propagation and termination. A proper 75ohm cable, matched/terminated on both sides, will not have any ghosting - that's basically signal reflections. Then the H/V sync wires should be thick enough to allow proper currents for fast signal propagation. And then all this should be preferably shielded again to reduce EM noise to nearby devices.
The problem with such cables, other than simply not being sold because 5$ a piece thin mostly-plastic multiwire cables are everywhere now, is they tend to be rather rigid and not as easy to place/route. But if you want quality, you accept that. Gold plated connectors are a nice touch but make little difference, unless you intend to store the cables in a damp or cold place where moisture is an issue. Depends where you live I guess.
My advice is buy a cheap but promising cable, cut it in half, inspect the guts. Usually it's only good for a garbage bin. Sometimes though you get surprised with a NOS from good old SVGA CRT days - in that case, buy another of the same type from the same seller and enjoy.