I had my preconceptions getting smashed big time twice.
The first time was when I tried expensive interconnects. I could try them for free and I was pretty sure that they wouldn't, shouldn't, couldn't, make a difference. Well, they did and the difference was breathtaking. I realise that this is still a sensitive subject, and no, I don't think that the wires inside the interconnects have some magical or mythical atributes. It's just plain copper, so obviously that's not going to be 'it'. I do however have quite a lot, really a lot, cables and interconnects and at the time I was trying to redefine the term 'cable spaghetti'.
What I -think- was happening is that my interconnects and cables suffered a lot from electro magnetical interference from each other, and the more expensive interconnects were much better shielded. It took me a couple of years to get the spaghetti sorted and I guess that the effect would be smaller if I would try it again. Truth to be told, most of the cables I now have are more expensive than the ones I started out with anyway, because with 7 power cables, 17 interconnects, 11 strands of speaker cable, a pair of REL High level subwoofer cables, ethernet, SCART, HDMI and a coax tv cable (I'm sure I missed some), spaghetti can still happen, and the much shorter and stiffer cables help in separating them from the rest.
The second time was when I had used REW to measure my room and used the outcome to remove the standing waves caused by low frequency room modes. That actually went pretty good and it was a massive improvement. Then this guy from the Linn forums came over and re-did the whole thing just by using a small selection of tracks and his ears to pinpoint the room modes. Easily the best upgrade ever. About a month ago a guy who works at my local dealer came to visit me and he was actually sitting with his mouth open and not saying anything. But in his defence, I still do the same, every time I turn up the volume and listen.