It somewhat depends upon what you are trying to do. You would approach putting together a $3k system differently than a $300k system. Roughly speaking, as you spend more the effects of tweaking become more apparent. Good loudspeakers and decent room acoustics are fundamental.
How Important Are System Cable Upgrades and Where to Start?
My limited experience indicates that the order of most to least important is:
Room Treatment: Room selection/ Audio furniture (vinyl playback)/ Equipment placement /absorbers/diffusers
Component upgrade
Component power supply
Power Source conditioning &/or dedicated circuit
Power Cable
Interconnect
Speaker cable
The exact order of the first five items likely vary a good bit depending on the room, starting components and quality of power.
What are your priorities?
Are your priorities based upon trial and error, or the logic of your thinking?