At least as far as HDMI cables go, I cite this report done by the Canadian Broadcasting Company: http://www.cbc.ca/marketplace/packing_the_deal/
The tested a cheap HDMI cable (probably Monoprice, but never identified) against Monster HDMI cable. One of the things they did was to measure the signals using one of their expensive broadcast analysis devices. There were zero differences in what the signal looked like between the two cables. No one who watched TVs connected to the different cables was able to perceive any differences either.