I think Atmasphere would agree that in certain environments, like in the middle of any big city, near power lines or large electric devices, it would make sense to use shielded phono cables. Also, if you don't or can't carefully route your phono cables so as to avoid RF and EMI radiating from your own equipment (or your own refrigerator, for example), it would make sense to have shielding. But, like certain calculations in higher mathematics, once you know the rules, it's OK to break them. I make my own cables. I usually twist the strands of wire (hot with ground or the + and - phases of a balanced signal) to cancel noise, rather than to add a discrete shield. (Twisting also adds capacitance; there's no free lunch.) I've never felt the need for a circumferential shield on such a cable. On the other hand, I would agree that most commercial phono cables have an integral shield; you're stuck with it. (I live in a suburb of Washington, DC, where there is not much industry and no power lines nearby, etc.)
best-groove, IMO, it's more important to be aware of the capacitance of your particular phono cable, rather than to take such pains to minimize capacitance that you compromise other aspects. By knowing the capacitance per foot, you can incorporate the total number of pF's into your calculation of the capacitance load on the cartridge. This is most important for MM types. Any decent phono cable should not add much more than about 150 pF to the load, usually less, sometimes much less. Some MMs require much more than 150 pF for optimal loading, the rest are OK with up to 100 pF. So, for many MMs you end up adding C on top of the inherent cable capacitance, rather than subtracting it. Capacitance is much less important for MC types.
I strongly second Dave Pogue's recommendation regarding a "cable cooker". Anti-cables told me that my new phono cable would require 500 hours of burn-in, assuming only normal use carrying the signal from a cartridge. I put it on my cooker for 5 full days, and yowzer!
