NIN - The Downward Spiral Dual Disk does not take full advantage of the DVD-A format. The CD was recorded onto DAT like fidelity, so it maxes out at 48khz (rather than CD's 44.1). So, playing that DVD on a standard DVD player doesn't hurt much. But the true magic of getting that disk is the 5.1 mix, so listening to it downmixed to stereo via your headphones isn't going to be as great. The CD side of the disk features a remastered version, but you only get a little bit more dynamic range.
In order to get true DVD-A features (better than Dolby Digital 5.1) you need a special DVD-A player AFAIK.
According to
this, you will be able play the new album on a standard DVD player and get Dolby Digital 5.1 on it (and Dolby Digital 2.0).