Well, where do I begin?
I'm speaking from personal experience which is quite varied. Let me explain.
I initially had 14 gauge OFC cable from USA which I bought more than a decade ago. I was using them with a Denon Integrated amp and Sony CDP for a decade or so along with Monster I/C and Lyrita I/C both of which I could not differentiate sonically.
After joining HFV the upgrade bug hit me. I bought a Marantz CD6003 and Class D power amp simultaneously and Acoustic Portrait bookshelf speakers a little later. The SQ of the CDP is definitely quite different than when it was played straight out of the box.
Since I noticed greenish patches of Cuprous oxide at a few places, I scouted around Richie Street and bought 12 gauge OFC cable. When I replaced the old cables with the new ones, the music sounded pretty horrible; muddied sound and the sound stage is like khichdi. I started using the older cable till I got dual stranded Audio Quest flat cable from a forum member. There were differences which were very subtle. The AQ is a tad brighter.
In the course of my DIY activities, I ended up buying a Luxman L80V SS Integrated amp and a Technics SU8022. Both are good but I liked the Luxman the most. When I had to replace the two main transistors which had blown due to voltage fluctuation, the sound became a pale shadow of the original. It took time to burn in and got back to it's good state later much to my relief.
I later upgraded to purchased Acoustic Portrait tube Pre and SS Power amps. I tried to replace the Lyrita - Monster combo with 'Siltech' cables which were supposed to be much more expensive but sounded terrible.
I then purchased a pair of Audio Quest IC3 interconnects and SC5 speaker cables. There was a dramatic improvement in the SQ. The missing lows came back, the sound became much more refined and pleasing.
My latest acquisition is the Cadence Arista speakers. They were the most expensive upgrade that I indulged in along with the AP amp combo. The electrostatic panels were not working and I had to get them replaced. When the panels came back, I eagerly connected them and was in for a total shock. The sound was pathetic, highs were missing, sound stage was about 2-3 feet though the speakers were spaced 7-8 feet apart. The dynamic range was so horrible that lulls and crescendos of Western classical sounded similar!! I couldn't sleep that night as I couldn't digest the fact that 80 odd K went down the drain AFA I was concerned. Day two improved the sound a bit and by day four, things were getting interesting. The speakers now sing and how.
In the meanwhile, I had also purchased Cardas Golden Reference and Yamamura Millenium 5000 Power Chords and Straightwire Maestro II speaker cables. The power cables contribute very subtly to improve the sound but I was most impressed with the Straightwire cables. They made a dramatic difference in the way my speakers sound. The inherently laid back sound of speakers changed and they now sound forward, comparatively speaking. The Bass sounds significantly taut and deep and the details that are coming out from the speakers make all my CDs sound totally different.
The differences that the cables make as and when you upgrade as per my experience are as under: -
The instrument separation gets better; Muddied mids sound lusher; There would be an addition of that sparkle to the highs; Details would be much more discernable.
The differences that burn/break-in makes the equipment sound smoother (harshness would go away); Dynamics would improve.
I'm writing this post purely out of my personal experience. YMMV (of course)