I've recently begun exploring whether or not interconnect cables make a difference. The problem is that a lot of audophile alterations are subtle and can be very difficult to distinquish. Even moving the speakers an inch apart can have a dramatic effect ... over time ... but seem only to have a minimal impact on the quality and spatial dynamics when first moved. Testing components requires a lot of patience and some knowledge of room acoustics and speaker placement. You can get really bad gear sounding better just by taking the time to test speaker position without toe in.
The same "subtle" but "dramatic" effect applies to interconnects. The best approach I've stumbled across is to connect my preamp to my amp with a pair of crappy out-of-the-box interconnects and then swap out various ranges of low priced to moderately priced "quality" interconnects between the CD player and the preamp (you could do the same thing with an integrated and CD player). This removes all possible gear in between the source and target giving an enhanced impact during the testing work (be sure to disconnect any DAC or other digital enhancing/scrubbing gear). Pick 5 or six pieces of music that you are NOT familiar with (even better with pieces you don't like at all). Listen to about 60 seconds of each track you've selected to avoid ear fatigue and have at it.
I look for treble that is clear and distinguished without being harsh or biting, bass that is "fast" and tight and not muddy or overbearing (bass should also be fully seperated from all the other instruments for maximum impact when it counts), mids (for me the most important quality) should be "juicy" and fully distinguished from hi and lo end instruments. Being able to distinguish the midrange instrument's highs and lows seperated from the competing frequencies of the other instruments is vital. The mid-range low end should be especially prominent and enhance the majesty and impact of the bass and kick drums. Finally the sound stage should expand ... solo vocals more forward, chorus and backup farther back or left and right, and instrument postions (forward, rear, left, right, center) more finely distinquished. The greater the seperation of the instruments the more integrated the musical presentation and the more information your ears get to chew on.
Test Volume: Should be loud enough to get the combined instrumentation "moving air" with good bass distinction. Use the same volume setting at each listen. Too soft or too loud can color the test impression.
Once you've found a cable that exhibits a clearly defined, though subtle enhancement, give the system (still in test mode) some more gas and observe where it goes. Then play some stuff you really love and see if it has more life.