While in general (eg from router to computer) shielded is preferred, if you are connecting a component (eg DAC) to a network switch or directly to a router or computer, check with the manufacturer of the component before deciding. I recently acquired a dCS Rossini DAC. I asked the manufacturer for recommendations re an ethernet cable. The response:
"Thank you for contacting dCS. I hope you are enjoying your Rossini so far, if you have had a chance to try it out?
The short answer is that no, there is no sonic benefit to using 'audiophile' Ethernet cables in an audio system. A basic, unshielded CAT5e or CAT6 cable is all you need.
The longer answer is that such 'audiophile' cables can introduce a host of problems that are simply not present with an appropriate cable - the main two being that they frequently cause ground noise issues in audio systems resulting in a drop in audio quality, and the very rigid cable paired with overly large connectors can cause damage to the Ethernet port itself. Take a quick look at our FAQ on this here.
The mindset to take with your network and with streaming is that you are aiming for a network which is stable and reliable, not one which sounds good. With Ethernet, using standard networking gear the sound quality takes care of itself.
I hope this makes sense, but please feel free to let me know if you have any questions and I'll be happy to elaborate. "
Incidentally, dCS has been excellent in terms of customer support, quickly answering email questions.