Judit is correct, and the military and some high tech computer companies use the Faraday cage to protect against stray RF and EMI signals, particularly in sensitive testing situations.
To answer your question, yes the cage could work, especially around (say) a turntable where you wish to isolate the phono cartridge and tonearm wires from picking up CB radio, FM broadcasts and the like. As far as cable goes, many of the Belden and Canare cables do feature a foil and/or copper mesh that in fact acts as a shield for just such purposes. The Faraday cage is just a large version of this same idea.
In any case, the cage or shield must be properly grounded, so the signal will dissipate to earth, rather than continually dancing around the outside of the metal shield.
To answer your question, yes the cage could work, especially around (say) a turntable where you wish to isolate the phono cartridge and tonearm wires from picking up CB radio, FM broadcasts and the like. As far as cable goes, many of the Belden and Canare cables do feature a foil and/or copper mesh that in fact acts as a shield for just such purposes. The Faraday cage is just a large version of this same idea.
In any case, the cage or shield must be properly grounded, so the signal will dissipate to earth, rather than continually dancing around the outside of the metal shield.