I find it really depends on the recording. MP3s can sound great on some well recorded (and well produced/eq'd) music. Likewise, on really poor recordings you are unlikely to hear any benefit going lossless. That being said, there is usually some noticeable difference on my system between lossless and mp3 (up to 224vbr, anyway). Tape hiss (or the absense thereof) is the first giveaway. As mentioned before cymbals lose their 'splash' and become rather scratchy. Fine details, like light fingering on a flute, for example, just are not there. Overally, on mp3 the music loses a quality hard to describe; a certain 'presence' and 'sparkle' and transients suffer. This combination makes it especially unmistakable on, say, acoustic guitars. Not something you notice when it's not there, but something I cannot help but notice when it is.
The differences are very slight and very subtle, however. I find it is very much like the difference between an fine turtable cartridge and a mid-level one. The vast majority will not notice any difference, but if your system is revealing enough, and your ears get accustomed to listening for the details, you won't mistake it.
That being said, Alot of these MP3 artifacts are exactly what happen on harsh brickwall-filtered cd players anyway. if I listen straight out of my powerbook, I doubt I could hear any difference at all!