Huge ImportanceFor the not yet converted
In my experience, cables play a major role in sound quality. To me, they are like any other component in your system (they even require break in time). Different manufacturers have different sounds, and you need to find out the sound that is right for you. I think that there is a clear difference between cables in the >$20 bracket to the >$100 bracket to the >$500 bracket. I don't even want to consider the ones over $1000 right now.
For me, hearing that difference every time when certain transitions were made, how certain notes bloom, attack, or decay all because I changed a cable from my pre amp to amp, really makes me take notice. I did A/B tests for hours and on all of the recordings it was undeniable. At a certain point I knew which ones I preferred, but I have these trial cables, might as well test away.
You owe it to yourself to listen to several genres of music and hear the difference that a cable can make, especially if you have invested a bit of money into your system. Just think of the time that you invest when you sit down to listen.
Off the top of my head
I think that the Kimber PBJ is a great <$60 cable
above that has to be Harmonic Technology Prosilway2 <$300
You may be able to get each at half off at audiogon
I think that these are really good. I have read some sales stuff saying that your cables should cost at least 10% of what your system costs. I think that that should be higher in headphones because it seems a lot less expensive to get a top notch cans set up than a full blown home set up.
As far as sound goes, I think that the source is most important, the front end, because as the theory goes trash in trash out; then speakers/headphones, then pre amp, then amp, then cables.
So, yes, I think interconnects are important.