This is always fascinating to see how controversial this topic is.
Given dealers willingness to send demos out to customers, it is easy and inexpensive to test cables in your system. As a dealer, I have now had the opportunity to test lots of cables and can say unequivocally, cables sound different and can setup tests that anyone can hear.
It doesn't mean all cables sound different (which if the goal is true lack of coloration is a good thing). It doesn't mean more expensive cables are inherently better. I have had some awful, very expensive cables here on trade. What it does mean is, as has been pointed out by others, cables are a part of a system and need to be considered within the context of a system.
My experience is that a system can sound very good with inexpensive cables and you will get audible improvements if you choose the correct upgrades. If you choose the wrong upgrades, I can have a very negative impact.