Warm-up time.

It takes my rig about 40 minutes to start sounding awesome, an hour gets me where I want to be.  On vinyl, I hear improvement after the 1st side.  After a 2nd side, its pure bliss.  

In your tube component especially, warmup is essential to prime listening. The nodes must be burning for a while before the electrons fly across those gaps in a smooth unwavering flow. Keeping the component on all the time can keep your electric meter spinning as it can generate much heat, depending upon the tube type. But you wouldn't have to remember ahead of time to turn it on.

I've never found the need or noticed any difference in playing music during warm up. I come home, turn it on and putz around and then start playing music awhile later. 

It takes my system about 30-45 minutes before it 'gets going'.  I wonder, though, if just leaving the system powered on does the trick, or if you actually have to be sending signal through for it to make a difference.

I have the same question as parabolic.
The only things I keep powered up are my SS phono-pres.
On some sessions I think I hear an improvement after 20 minutes, on some I notice no change. The ones where I do notice a change are usually playing LPs vs digital sources. And usually with a DL-301 vs a Shure V15.