In my experience, a great sense of depth can be achieved to an impressive degree without the total sound quality being top notch. In other words, you can get it with fairly cheap gear. It is very important to get the the frequency response correct though. I say this because I’ve played a lot with digital EQ, trying all sorts of approaches to see what I could get to happen. I wasn’t expecting to achieve a sense of depth at first. It was a surprise discovery while trying to produce natural tone. Over and over I’ve set up systems that gave me no sense of depth at first. Subtle adjustments to EQ involving both measurements and plenty of listening and experimenting will usually get it to happen so long as the listening setup is decent. It never ceases to amaze and gratify me when the sound all at once transforms because I got the combined frequency response of the room and system components close enough to where they need to be to let my brain change modes and perceive depth. The cheaper the system, the more gratifying it is when it happens. It’s like I broke the rules. This system is not supposed to be able to do this! With a cheap system and EQ I cannot necessarily get a sense of depth and fully natural tone to happen simultaneously unless you’re willing to sit fairly close to the speakers and limit the total output. You can only squeeze so much blood out of a turnip. Lowered volume makes distance effects easier. Lifelike volume and dynamics while maintaining a sense of depth requires some investment.
One strange thing I notice from going to trade shows where there are sometimes big rooms with the speakers way out from all the walls, is that when a system has plenty of space to create depth, I’m not that impressed by the fact that it does. Of course it should. I can see so much space that I almost can’t imagine how it wouldn’t sound that way. When it can happen in a relatively small room in such a way that your eyes tell you that you shouldn’t be hearing what you’re hearing, but you hear it nonetheless, that impresses and pleases me more. It’s a better magic trick. I guess it’s just the idea that I can have a concert hall in a small space. That’s magic, more magical than a real concert hall. A real concert hall sounds great of course, but I can’t have it in my family room.