Much as I hate to get in the middle of a dreaded cable debate, I figured this one might be safe enough.
First off I do hear musically significant differences between different Ethernet cables. Second, as is typically the case with Hi-Fi, cost has no relation to performance. Third, I also hear a difference in the direction of the cable so it is best to try both ways when listening. Fourth, also as with other cables there seems to be a length that is the most musical, although longer cables can be used where necessary with not much loss in performance in this case.
As to the cables, Fredrik Lejonklou, whose equipment I import from Sweden and distribute in the USA and Canada, and I have found the most musical cables so far to be Blue Jeans Cable (BJC) CAT 6a in an 8.5 foot length. These have musically outperformed other much more expensive cables I have tried from Audioquest and others and everything Fredrik has tried. Many customers, dealers and forum members have tried the same cables and are similarly happy. They are quite inexpensive and I highly recommend trying them. You can just order them from their website and receive them with quick delivery.
They make them in multiple colors. Since some will already consider me crazy I might as well add that I have not found any sound difference between similar cables of different colors, but I have found that each cable sounds a little different. So I tested four at Axpona last year with Fredrik and a friend. We found two white cables to sound musically different and a purple one to be the best closely followed by a black one, both better than the best of the two whites. I recently ordered another batch of various colors but haven't had a chance to listen to them yet. After all why should it be easy?