I put things comically, but I think gauge is important. Not all important, but important. There's a lot of information out there. My approach has been to try to spend enough so I was not using a cheap cord, but not so much that the cost started to be too high in proportion to my system.
I have heard demonstrations with power cables costing $2k and $7k and I could hear a difference -- in that system, that room. That didn't make me touch my wallet, however, because I want to change the weakest links, first, and I have a ways to go.
This video was interesting:
