Burn in for certain components -- sources, headphone amplifiers, power conditioners, headphones -- does occur but the differences between out of the box and 250+ hours are not nearly as great as touted by a lot of audiophiles (IMHO). There is the warm-up phase which is obligatory to a certain extent when a component has not been plugged in over a year. However, burn in is nearly indetectable on the small variety of interconnect / power cords I have had the pleasure of owning. When I purchased my Etymotic ER-4P/S phones, it did sound a bit harsh and unrefined to my ears straight out of the box. Weeks later, the sound has settled but the sonic changes were more like a smoothening out of the harshness; at no time did these phones just "open up." As for my Cardas Neutral Reference ICs, I heard the same phenomenon but then the cables just disappeared and let the music flow freely and naturally.
For what it's worth, I respectfully admit that we audiophiles can get easily duped or we dupe others easily with our own contagious enthusiasm for our own hobby.