Your question is very general in nature, so this has been my experience:
The best upgrade I ever made was to hire a set-up guy who really knows what he is doing. For the a small fraction of my total system cost, my listening pleasure went to a whole new level. I good dealership may be able to offer this service, but in my experience, it is difficult to find.
I used to think it was more about the equipment. People on forums and dealers trying to convince you that this special brand will make all the difference. I now realize it has more to do with the listener/room/speaker relationship and knowing how to optimize this. I continue to be amazed at how much better my system sounds now that it has been properly set-up. And I didn't spend any money on new/different equipment.
If you were asking about the differences between specific cartridges or preamps, that would be something else entirely.
