Well the answer is, "it depends!". Not so much on the type of veg, but more how you cook it.
Fried dishes will be less healthy than oven-baked dishes for example.
So on the healthy front, something like this asparagus pasta salad is full of nutrients, with very little fat, while this vegetable pasta salad is equally jammed full of good stuff, with relatively few calories.
In contrast, the seriously fried eggplant in this veggie pasta recipe (AKA 'pasta alla norma' - my fave) probably won't win any health awards.