Does the THD of each individual component accumulate, or is the effect limited to the highest (noisiest) one component? Simple example question; if each device has .03% of THD for a phone pre-amp, pre-amp, and power amp, is the system distortion .09%?
@gs5556 has this one correct.
THD doesn't tell the whole story though. The human ear is fairly unresponsive to the 2nd harmonic but responds a lot (since it uses them to sense sound pressure) to higher ordered harmonics, the latter of which it translates as brightness and harshness.
So the ratios of these harmonics will play a role in what you hear, more so than the actual THD value.