I'm not going near the cable debate, but I do think that the placebo effect in audio is real. If you spend a lot of money on something, you want and expect it to sound good, in much the same way that you want an expensive, exotic medical treatment to work wonders. That expectation can easily lead you to hear things that, on any objective basis, simply aren't there.
I've never owned a system that could be called high-end in the sense of "high-end" that Head-Fier's often mean. I got my first component sound system in the mid-70s; I was already familiar with it, since it was a hand-me-down from my father, who had just upgraded his entire system. But I think I can honestly claim, after all these years of listening to decent equipment, that I can recognize significant improvements in sound, when they actually exist.
What I'm getting at is simple: this just isn't rocket science. The first time I heard Magnapans, I was floored. The first time I heard Grados, I was floored. The moment I fired up my T-Amp, I was floored (O.K., that was a price/performance thing, but you know what I mean.) If you need to strain to hear a difference, it either isn't there or it is probably too subtle to be significant.
I definitely have a tweaker side, and I am not immune to trying the latest fad when I can afford it. But I recognize that the pleasure I get from this has more to do with my being a gearhead than from any truly important improvement in sound.
In sum, yes there is a placebo effect in audio. But as long as I keep that in mind, and as long as I recognize that there are other pleasures in tweaking (toy value, if you will), I don't have a problem with it.
P.S. I hope this post doesn't piss anyone off. It's just an opinion. Others will surely differ, and that's fine with me.