Are my ears just fooling me?

I have been in this hoppy for a couple of years. I have been through alot of equipment, trying to find the sound for me (dont we all!) I have really enjoyed it but something is starting to bother me. I for some reason feel that every system I have ever heard cannot reproduce a saxophone with the body and emotion like when I hear it live. I am young but I have listened to and owned equipment all over the board. Most hifi gear I find is just really thin sounding to my ears, even with owning many tube amps. Is this normal? Does my ear just want to hear distortion with playback that really isnt there on the recording? I have never heard SET amps before and think they maybe down my alley...but is it just some more "ear candy"??