Upgrading parts can certainly be worthwhile, and can be audible, but what you prefer is always subjective. Be aware that some caps take some time to burn in, and don’t always sound better immediately.
For me, recent mods started with adding a VTA board to my Dyna 70s. In addition to a different driver stage, those mods also beefed up the power supply. At the same time, I upgraded the coupling caps, resistors, and internal wire. It’s tough to be certain what contributed to specific changes, but the whole amp sounded better across the board to me. Switching to a solid state rectifier followed.
Tube rolling can lead to some significant audible changes too, and while not usually inexpensive, they don’t typically involve any modification, assuming the amp will accept the tubes types you try, so it’s easy to experiment if you’re willing to obtain the tubes.
Lastly, my tube amps are now bi-amped, have an inline high pass filter before the amps, and only power the midbass and tweeters from ~ 60hz up. The woofers go through an active low pass crossover and are powered by a SS amp below 60hz. Relieving the smallish tube amps of the responsibility of powering larger woofers in the lowest octaves most definitely led to improved clarity, and in my case was relatively easy and affordable to do.