I think it is a combination of both, actual physical change to the component, and the listener becoming use to the particular sound of the component. For speakers and phono cartridges, mechanical movement will loosen things up and the change is very evident. I am not so sure with cables. For electronics, I've heard pretty big changes with some components. I've gone through the turn-on, turn-off routine recommended to burn-in a new Naim CDS3 CD player, but I can't say that that sped up the process, although it is clear that the CDS3 changed over time.
But, not only is "burn in" an issue with new components, even older components that have been turned off for as little as a few hours can take a long time to come up to song. For example, there is a reason why Naim gear is designed to stay on at all times -- it sounds horrible for a whole day after a prolonged shutdown. The explanation I've heard is that it takes quite a while for the power supply capacitors to fully charge and physically regain the form they take when charged. Fortunately for me, tube amps take only about 15 minutes to warm up.
Electrostatic headphones also take some time for the diaphragm to fully charge and will sound thin and brittle until that happens. My Stax Omega IIs take at least 10 minutes to become even listenable.
But, not only is "burn in" an issue with new components, even older components that have been turned off for as little as a few hours can take a long time to come up to song. For example, there is a reason why Naim gear is designed to stay on at all times -- it sounds horrible for a whole day after a prolonged shutdown. The explanation I've heard is that it takes quite a while for the power supply capacitors to fully charge and physically regain the form they take when charged. Fortunately for me, tube amps take only about 15 minutes to warm up.
Electrostatic headphones also take some time for the diaphragm to fully charge and will sound thin and brittle until that happens. My Stax Omega IIs take at least 10 minutes to become even listenable.