Neither is particularly close. Either one would require you to get to Manhattan to connect to the train for New Haven.You could probably get there from LaG a little quicker, but it is close. I think that the ride is easier from JFK, alsoo.
It is about the same but the good news is you can use Primetime Connecticut Shuttle which provides door to door service.http://www.2theairport.com
La Guardia is closer, but the two are only by about 10 miles apart, which, considering New Haven is 70 miles away, is a small diffrence.
La Guardia is closer to Yale but not by much.
Only if you plan on swimming long island sound