After a huge caveat of "not in every case," I can make the following comments regarding general characteristics of the items you list, based on my experience,with regards to interconnects;
Design: a twisted pair is generally superior sounding to a coaxial design - better focus. In addition, because a coaxial design has different wire and geometry characteristics for the positive and negative runs, it cannot be successfully used as a balanced connector.
With regards to twisted pairs, there are many ways to implement a twisted pair design by changing spacing, twists, shielding and more, and all those factors can affect the sound.
Other types of design include braided and spaced away pair (e.g., VH Audio Fine Silver IC's), as well as a sandwiched pair with flat conductors. Others have reported success with a spaced away pair in a flat orientation. I personally have had success with the VH Audio orientation where the two legs are wrapped around a core, and also some success with braided solid core wire.
With regards to materials, copper is generally considered warmer with better decay and body while silver is considered more detailed with more focus on attack, and is sometimes thought of as adding a harshness or edge to the sound although I am sure the Audio Note folks will disagree. I have a nice pair of silver interconnects and some nice silver speaker cables and, while I hear no harshness with either, I do believe the frequencies are sort of "tipped up" and that the presentation loses some body. Silver costs more. The only reason I can think of to use silver coated copper is for situations where you want corrosion resistance as it is often thought to be the worst of the options, although several well-known companies use it.
Interconnects should be low capacitance, speaker cables should be low inductance and resistance.
Opinions on insulation are all over the place. It used to be thought that teflon was tops, and most still think of it that way, but some believe teflon imparts a very slight unnaturalness to the sound compared to other materials such as polyethylene or especially natural materials such as cotton. Foamed teflon and foamed polyethylene are thought to be quite good. PVC is less used as a direct dielectric but is often used for jacket material. I personally like cotton or the foamed materials as a second choice. I have never heard silk although some, such as Duelund, use it.
I read a lot on these forums and following "common wisdom," many of my first ICs were unshielded. However, even though I have dedicated power lines, a high quality power conditioner for front end gear, and keep my wiring pretty tidy, I have since found that I prefer using shielded ICs so I now make everything that way using high quality tinned copper braid sleving, and I try to space that away a bit from the internal pair wires. Since I make mostly balanced cables lately, I spiral a ground wire outside the shield in the opposite direction of the twist on the internal wires.
I have had good success using high quality connectors from Furutech, for speaker cables, ICs and power cords, although I also like Oyaide for power cords.
To make your ICs, I would suggest starting out with the VH Audio fine silver wire recipe. You can use silver if you want but I would recommend using a high quality copper hook-up wire (VH Audio sells some OCC copper in their proprietary foamed teflon). Jupiter copper in cotton also sounds quite good in the 6/9s version. I like using 3/8ths inch diameter caulk backer for the core, or cotton rope if using cotton covered wire. If you are worried about corrosion of the copper in cotton wire, you can wrap a layer of teflon tape outside the wire to help reduce exposing the wire to oxygen and dampness. Connect the shield only to the source end and cover the whole thing in clean cut techflex. If making rca conductors I would use gold or rhodium Furutech connectors like the FP-108 or FP-110.
Please realize my comments are generalizations, in large part, and that changes in any part of the design, materials or implementation can affect the sound. Good luck.
