You buy a $300 cable, don't hear any difference. Hit up the forums and find page after page of people complementing the cable on its superior sound. You start to wonder if you just didn't give the cable enough time (or, in context of one thing I read about a USB cable needing "time to come to rest after being moved" - really?), or if your ears are wrong, or if your gear just isn't good enough to be able to tell the difference between cables. But, you spent $300 - how can it not work? So you go back with the preconceived notion that you should hear a difference, and whether or not one actually exists, you'll convince yourself you do hear a difference.
Psychologically, it's pretty simple - expectations, and a subconscious bias against admitting that something expensive was a waste of money.
At least analog cables have common sense on their side - mechanical and electrical properties that can change the signal as it's passed through the cable. Digital and power cables? Group pressure, slick marketing, and high pricetags.
Quote:
Originally Posted by
Prog Rock Man 
A dearly departed friend of mine who was pretty bright and knowledgeable was actually intrigued by my position (once hled, not now) that cables made a difference. Rather than argue that I in fact could not hear a difference, he was interested in why I heard a difference.
I wish people here would look at the 'why' more often and in more detail.