Being bumped to first-class on a transatlantic flight out of London. It was dramatically quieter, and the sound emanating from the headphones was far superior to that suffered by economy class passengers using those throw-away things. I would say, that in comparison, the sound was airy, incredibly life-like and almost palpable. I felt as if I was in the clouds!
At home, the single upgrade that impressed me the most--and first opened my mind to the possibilities of better sound--was buying a pair of heavy Target speaker stands for my LS3/5As (which previously sat on a bookcase). Soon after I discovered the differences cables made. Then I replaced my Denon direct-drive with a Systemdek. Then room treatments, etc.
The speaker stands, however, remain significant. As a musician (musicians often have dreadful stereo systems) I had been highly skeptical that such changes would make a difference. And like many others, I was entirely convinced (more like opinionated, narrow-minded) that was I was hearing was all there was to hear.