Brought home an expensive (to me) multidisc CD player, anxious to hear a spectacular improvement over my Yamaha. Nothing, nada, nil. Listened intently, repeatedly for a week, at the end of which I took the player back to the dealer. I was pretty bummed when he told me it was too late to return it--they considered any trial longer than a day as a purchase! They gave me credit, though, toward a single disc player which exhibited huge improvement, even with casual (read: spouse) listening. I still have my Icon MkII Power Boss.
A comment on the "remove it and you can hear a loss" phenomenon. Most manufacturers and good dealers will tell you that it might take a while for even an already broken-in piece of equipment or wire to settle in to a system. These comments would seem to lend creedence to that argument, which I never felt was very compelling on its own. While not making any substantial contribution to a system upon their introduction, many components probably reach some state of acclimation after which their removal will make much more of an impact.