Cable differences -- power, interconnect, digital, and in what order?

I can’t mix and match and I don’t have experience with cables outside of stock and Shunyata power products. I went from everything plugged into the wall to Shunyata Venom power cables, except Sigma NR to integrated amp and Everest conditioner/20 Amp Sigma to wall. Next, I switched out cable for Venom NR for subwoofers and Sigma NR for all else. All stock to full Shunyata was a major improvement and further upgrade to Sigma NR was another improvement. Other cables/interconnects did not make such a dramatic difference, with the exception of upgrading to the Sigma Ethernet cable to my streamer. So, the two cable categories that made the most difference in my system were the ones that I least expected improvement. Currently, I use the six independent channels of the Everest for, Integrated, streamer, DAC, phono preamplifier and one channel per subwoofer. My turntable is on a lesser power conditioner and power cable.

I was sold on the Shunyata system and have my doubts as to making small changes here and there and expecting a major improvement in your system.  I live in a new home, with a crazy level of building in my area, so maybe I have particularly noisy power lines, so your experience may vary, especially if you are  looking to do something with one component at a time.

As in most high end audio, it depends. From my experience (50 years) in general speaker cables, power cords, and interconnects. But they are all important and there are many exceptions.

To really get a handle on the sound characteristics and to optimize your system.

First complete your component upgrades… making sure you are completely happy and sure all major components are complimentary and sound great. I use my budget / standard wires: DHLabs. They are good quality and relatively inexpensive… they are my standard for reference. 
 

I get my system broken in… say 500 hours. Based on the sound I will try a few high end speaker, generally Cardas, Transparent, Nordost, WireWorld. I very slowly rotate… a week at least. Listening to music not the equipment. Then amp power cord (AudioQuest Storm Series), then interconnects… and finally power cords to the rest of the system. The process can take over a year… but at the end I have complete confidence in the sound I have. There has been no guess work. I know exactly what each cable has done. 
 

It has taken thirty or fourth years to get this down. It is too easy to be in a hurry to get things over with and make decisions. 

Well i have jumped ship from Brand made power and interconnect cables to diy/parts...and it has been a fun... for most of the experience.As ghdprentice said theres no shoot from the hip in any of this hobby.I replaced amp/cd/conditioner and interconnect cables.Many hours of burn in listening.I did stick with one brand power cables and connectors.

lol...Just did all my interconnects on audioharma/burner... quick 6 hr daisy chained...thought they were done before process...😏.Wow...took them to another level.Try is all i can add...youll never know if you dont.