If SQLyog is installed on the same machine as the MySQL server it does not matter as mysqldump and SQLyog are equally fast here (they do almost the same). But if not on same machine you will need a very fast connection to dump 2.5 GB to a remote client machine efficiently. In this case it will be faster to dump using mysqldump on the server. But next you will need to download the dump – so it could end up almost the same in total.
But still I think that mysqldump+download will be somewhat faster than SQLyog dump to a remote client machine in this scenario in most cases.