Other than noise, conductivity and thus impedance, and simple durability I cannot think of any other reason why an expensive hi-fi cable would alter the sound any. Noise, conductivity, and impedance are pretty important though. I remember in my physics days that nasty reflections and attenuations can occur from non-impedance matching. This means that the impedance of your gear, headphones, and cable should ideally be the same. Perhaps a higher quality cable has better grounding and slightly better impedance matching to headphones and headphone amps. The same would go for speaker wire, speakers, and speaker amps.
I guess the price does not really matter, but the afore mentioned quantitative qualities do matter and will affect the sound.
The following link shows the reflection coefficients for voltage down a transmission line relative to the impedance of two connected lines. The only real way to preserve the amplitude and minimize the back reflection of other waves is to very closely match the impedance of each connection.
Here is another link specifically referring to audio equipment impedance matching: