Interesting reading and here's another view.
I have HiFi Tuning fuses in my amp. One for the AC input at the IEC, and one on each power rail, for a total of 5. In order for any effectiveness, ALL fuses need to be changed. If you only change the AC input fuse, the easiest one, you are not really changing anything except lightening your cash on hand.
I only did this after reading an interesting little blurb on the pcX site, put out by HiFi tuning of course, about how their fuses had way way less resistance than standard fuses, of any genre. I thought that perhaps this might make a difference in power delivery as it may let power thru a little easier.
So, I got them and installed them, and then listened for any differences, and basically heard none, but nothing was worse, so okay. After a couple months I switched them out for the stock fuses, out of curiosity, and listened again. Now the music is not quite as loud, so bumped up the volume one notch, 2 db., and it's louder. So fancy fuses back in, and down goes the volume setting and all is more better.
This makes sense. A fuse is in the power supply rail and there is NO musical signal there. All the fancy fuse, with it's far reduced resistance, can do is make power supply delivery easier, faster. This may allow some improved performance from the amplifying section it supplies.
Everyone likes to describe what they hear as frequency response changes, but really, a fuse only supplies current to the amp, not music.
As to any cost effectiveness, well, you can buy a lot of music for the costs of the fuses. And you have to change ALL the fuses in an amp for any difference to happen.
But it's all part of the hobby.