We study trade-offs between accuracy and privacy in the context of linear queries over histograms. This is a rich class of queries that includes contingency tables and range queries and has been the focus of a long line of work. For a given set of d linear queries over a database x epsilon R-N, we seek to find the differentially private mechanism that has the minimum mean squared error. For pure differential privacy, [5,32] give an O(log(2) d) approximation to the optimal mechanism. Our first contribution is to give an efficient O(log(2) d) approximation guarantee for the case of (epsilon, delta) differential privacy. Our mechanism adds carefully chosen correlated Gaussian noise to the answers. We prove its approximation guarantee relative to the hereditary discrepancy lower hound of [44], using tools from convex geometry. We next consider the sparse case when the number of queries exceeds the number of individuals in the database, i.e. when d > n (Delta) double under bar parallel to x parallel to(1). The lower bounds used in the previous approximation algorithm no longer apply - in fact better mechanisms are known in this setting [7, 27, 28, 31, 49]. Our second main contribution is to give an efficient (epsilon, delta)-differentially private mechanism that, for any given query set A and an upper bound n on parallel to x parallel to(1), has mean squared error within polylog (d, N) of the optimal for A and n. This approximation is achieved by coupling the Gaussian noise addition approach with linear regression over the l(1) ball. Additionally, we show a similar polylogarithmic approximation guarantee for the optimal epsilon-differentially private mechanism in this sparse setting. Our work also shows that for arbitrary counting queries, i.e. A with entries in {0, 1}, there is an epsilon-differentially private mechanism with expected error (O) over tilde(root n) per query, improving on the (O) over tilde (n(3)(2)) bound of [7] and matching the lower bound implied by [15] up to logarithmic factors. The connection between the hereditary discrepancy and the privacy mechanism enables us to derive the first polylogarithmic approximation to the hereditary discrepancy of a matrix A.