Make your own. Here's how:
1. Buy good quality RCA connectors - Neutrik Profi are fairly cheap, solid and good, Makertek has them. Or Cardas SLVR if you like silver, $7.50 each from hndme.com. Or some other kind.
2. Buy some two-conductor shielded cable, like the Cardas stuff also available from hndme.com, stock number 12-054 @ $2.40/foot. Three feet should be plenty.
3. Pick one conductor as "signal". Wire it from centre pin to centre pin.
4. The other conductor and the shield are "ground". At the source end, connect the shield and conductor together. Wire this to the body of the plug. Mark this end, it connects to your source, i.e. CD player.
5. At the other end wire only the conductor, not the shield, to the body of the plug. The shield is only connected at the other end - cut it off neatly at this end and insulate it.
6. Screw the RCA connectors closed (you remembered to put the jackets on before soldering of course) and you're done. Adding heatshrink or other jacket material makes it look better but it's optional.
Alternatively get some Canare GS-6 cable from Markertek. Cheap! It's simple coaxial cable, just use the centre conductor as signal and the shield as ground, both connected at both ends. This is guitar cable, pickups make very small signals and it's designed to preserve those signals from all kinds of other signals running around a stage. It's good.
Another alternative is to open up some ethernet cable. By using one of the twisted pairs (there are four per cat-5, cat-6 or cat-7 cable) you have an excellent twisted pair cable which although not shielded will reject most noise by virtue of the twist. Use the pair with the tightest twist, the four pairs have a different twist rate to minimize crosstalk. Theoretically the higher the category the better it is, with bonus points for using plenum cable with teflon insulation - it's supposed to be a better dielectric but the main advantage is the insulation stands up to soldering better. It is an excellent conductor and has extremely low capacitance, even compared to some big $$$ audiophile cable. (If you find a source for cat-7 or cat-6e in quantities under 100 ft, let me know.)
You now have a set of interconnects that in theory, should perform as well as anything available. If you are satisfied at this point, congratulations - you've saved anywhere from $20 to $1500. If you can borrow, or buy with the right to return, another cable you can test it against your own effort.
I'm tired of audio snake oil. Your home made cable won't be as pretty as a commerical one and I admit that's a factor for me. In my listening I have not heard the difference between various interconnects costing more than $100 and my own creations. I have heard the difference when using different kinds of capacitors in the signal path, so if there was a significant difference I guess I would have picked it up. If all you care about is the sound and your wallet try the above. At the very worst you'll have a spare cable.
Does something like this exist? 
