I used to think pricey interconnects were snake oil...

While more expensive is not always better, and there are some lower-cost competitive cables that have surfaced over the past decade, I would not buy anything costly without having worked with a retailer or local dealer to demo it first.

After my local dealers inventories shrunk, thankfully working withe TheCableCo, TMRAudio, and MusicDirect, I was able to demo and return some and buy others on my last go-around of upgraded cables, in a reasonable and effective way.  

One thing I don't do any more with friends voluntarily,  is to bring over some of my better cables for them to try on their systems.  This can trigger instant confusion :)   

Snake oil is not a good conductor. 

JB71 is absolutely correct, but that doesn’t mean that every cable sounds like the next.  Sometimes, two things can be true at the same time.

Once you have a compatible set of components that sound great together, speaker wire, interconnects and powercords can make a very significant improvement in sound quality. The better your system, in general, the bigger the improvement you are likely to experience. But also, experience developing listening skills will reveal aspects to sound quality you will unlikely have even noticed when you started out.

One truth that has shown itself to me over and over again is that there are lots of good sounding systems, but all the truly great sounding systems have been meticulously tweaked through wires, vibration control, and room treatments in order to get their sound.

While the is no real wrong way. Most of us do components, wires, then room treatments. 

The question becomes what is the incline of diminishing returns for cables?

My own guess is that it's pretty steep, because compared to other elements in the system, cables make a smaller contribution.

Thus, the killer question for anyone spending on cables is: Are cables more deserving of your upgrade dollar than anything else in the system?

For example, if one were to spend $4k on interconnects, the question I'd ask is whether $500 in interconnects and $3500 elsewhere in the system would be a better investment. That's just the form of the question, and everyone would fill in the amounts with whatever suits their situation.