Is shielding cables that important?

Shielding isn't actually effective at blocking all frequencies anyway. If you are really concerned about high frequency noise, a combination of braiding and sheilding probably the way to go.

The theory is that the cables that are unsheilded sound better because they allow the signal to generate a fuller magnetic field around (outside of) the cable. The sheilding can retard the fields of the actual signal, just like it does for external noise.

I use sheilded cables for digital and video. Unsheilded for audio.

Sorry the EE in me can't let this one go. :-) The magnetic permeability of Copper, of which 99.9% of all shielding is made, is the exactly the same as air, which is one. Copper does not impede magnetic fields. When you add a shield to a cable you increase the capacitance of the cable. The shield acts as a ground plane at a relatively small distance from a current carrying plane separated by a dielectric, hence a capacitor. However in a well executed design, the capacitance introduced by shielding is usually very small. This could be the cause an audible difference, or it could be the cable is doing its job properly and it is letting you hear more "grunge" in the original signal. - Cheers, Dan

Dan, at last! An engineer that speaks to the reality of design with accuracy and understanding.