Have You Ever Put Your Golden Ears to the Test??

Pick up any Introductory Psychology book. Turn to the chapter on sensation and perception (usually ch. 3 or 4). You will find dozens, if not hundreds, of example of how expectations influence perception, whether visually or auditorially, ranging from the classic of hearing 'Satan rules' or 'Kill your parents' when playing AC/DC Lp's backwards, to the 25 year old study where the sound of the letter 'g' was removed from the word 'legislature' and replaced with the sound of a cough, and nobody could hear the difference. This is one reason why many people WANT to have objective tests of audio equipment; if we expect to hear a difference we will. People who 'hear' the cough as a G aren't lying; it's the way perception works. You can't help it.
There are a number of good comments above about the difficulties inherent in objective double-blind testing. One that I didn't see mentioned (maybe I missed it) was that you shouldn't do it with only one listener. You need a large group of listeners, with each person randomly assigned to one of (at least) two experimental conditions--one group hears component A before component B, the other group hears B before A. Of course, before you can even be in the experiment, you need a hearing test, ESPECIALLY if you are a male above age 40 or so, like (I believe) many of us here are. Not much point in comparing the treble response of two speakers if you can't hear anything above 10K (or whatever)!. You also need standardized source CD's or LP's, volume checks with decibel meters to make sure both components are equaly loud, signal detection theory when analyzing your data to correct for guessing......
Ok, I'm being (somewhat) sarcastic here. My point is that while we could do this, it's TOO MUCH HASSLE AND NO DAMNED FUN AT ALL!! Where's the music in all of this, man?

It has been said by others, but I suspect that everyone's threshold for hearing differences is, well, different. When I upgraded from an old Sony receiver to a Musical Fidelity integrated amp, I heard a massive difference. When I added an Arcam CD player versus an old Magnavox 650, I didn't hear much difference but really didn't listen sided by side. I have since tacked on the new MF DAC (thinking that was why I didn't hear much) but don't really hear much difference between the Arcam direct or through the DAC. While not even single blind, I can flip back and forth and I hear something, or maybe I just think I do (the salesman certainly said he did when I took my Arcam to the store to listen ;^).

My conclusion is that there clearly are some differences I can hear but some that I can't but others probably can. Whether it is their training or hearing damage from sitting in the second row in front of the right speaker bank at a Chicago concert in 1974 that left my ears ringing for days, who knows.

At the end of the day, though, I enjoy the music when I have the time to listen.

For me, listening hard to tell differences creates its own problems. My tinnitus starts raging, and I find that the harder I listen, the less my ears can discern. Over a long term, I can (I think) tell the difference between component A and component B. And, of course, sometimes the differences are dramatic enough to be immediately discernable. But the better the system gets, the more subtle are the improvements. And really appreciating them takes time, for me at least.

I agree with Newbee about having a familiar reference. If you do a test at a friend's house or a dealer, you are only hearing how a component reacts in that environment and with those components. Since you are not familiar with that environment, what you hear could mean anything. For example: if the unfamiliar room has a very lively boomy quality, you may select a lean cable or component that won't work in a more typical environment, etc.

I am always looking for a lower cost item that performs like the big buck items, so I am not prejudiced towards the expensive item.

It goes right back to there is no right or wrong conclusion. Every system is different. Not to mention how good or different everyone's given hearing ability is. My ultimate reference is the concert hall.

As far as wine, I still chuckle about the first time the California wines won a big international competition (blind tasting). All the French judges tried to go back and change their votes! (Hmmm....just like figure skating!!)