I have exported a video from Premiere CS3 (a character in blue screen) to chroma key it in AFX. I rendered the composition using Microsoft DV option, but I have noticed a loss in quality, The face of the character seems out of focus.
What´s the best codec to use when exporting from AFX to Premiere, or vice-versa?
DV is a highly compressed format. Stay away from it as an intermediate codec.
Quicktime "Animation" at best/full quality is a very good option that will also preserve alpha information.
If you were compressing to DV out of Premiere, and then again out of AE, you'd be significantly degenerating your footage.
Stay uncompressed/losslessly compressed (i.e. Animation codec) until it's time to go to final delivery.
Also, if your source footage out of Premiere was interlaced, make sure that you're separating fields and re-introducting them as needed in AE.
As Steve said, DV is evil, even more so Microsoft's implementation of it. Not only does it introduce block artifacts, but it also reduces the available chroma range. You should only use it, if you captured the video already this way in Premiere, but even then you would just use Premiere's own stuff, which offers a better quality (within what's possible with DV). If that's not the case, use an losslesssly compressed format like Quicktime with Animation or PNG compression. Even TIFF and Targa image sequences with RLE compression would work without consuming endless disk space...