My two best upgrades were non-trivial:
1) Audio: I replaced my existing (budgetish) 77-series Mission front three speakers with a trio of 18-bit D5Ks. Obviously there was a massive improvement, but the clarity and authority of the D5K centre hits me again and again. As an example, I often listen
at calibrated reference level (87) to the Star Wars scene where Luke and Obi-Wan are talking in Obi-Wan's home. The clarity, authority and lack of distortion in Alec Guiness' voice is simply amazing.
2) Video - Addition of a Crystalio VPS-2300 processor in between DVD player and projector. Removing the de-interlacing duties from my PJ and being able to scale the image to match the number of lines in the LCD panels made a massive and unambiguous improvement (e.g. Return of the King).
Incidentally, I've rarely seen improvements from cables or other "tweaks". Others' mileage clearly varies.