I actually did a test comparing cables using measuring techniques and found measured differences in signal levels and frequency response. I do not contend this is the last word on the topic, since I only took a crude measure of frequency response and there could be many other sonic features differentiating cables, which could be harder to measure.
The point is - some differences are real and not just in your head.http://www.head-fi.org/forums/showthread.php?t=155351
I would have thought these differences would have been very difficult to detect on listening tests. Although as I note, if you had three sets of cables in a system showing the same effects you would get a larger difference.
The effects of many such things may be very subtle, not easily detected in a simple A/B comparison. But with careful listening you may detect them and decide that you prefer one set-up over another.