Yes, it much depends upon the particular system, but in my system(s) I have consistently heard what several others have:
1) Power Cords + conditioners make the greatest difference.
2) Speaker Cables next (by a fair bit).
3) Interconnects last (but not by that much).
I think that there is a case to be made for "mixing and matching" different brands to balance out at the right sound for you, just like one might in tube rolling an amp. That said, I have virtually all one brand in my system currently... Different systems call for different solutions.
1) Power Cords + conditioners make the greatest difference.
2) Speaker Cables next (by a fair bit).
3) Interconnects last (but not by that much).
I think that there is a case to be made for "mixing and matching" different brands to balance out at the right sound for you, just like one might in tube rolling an amp. That said, I have virtually all one brand in my system currently... Different systems call for different solutions.