What are/were the best sounding cheap components you have ever had?

I have owned at least a hundred components.

That possibly might account for why you haven’t heard anything that’s both great and cheap. I’ve only been back in this game for a decade or so and have easily gone through twice as many products. Despite my frequent gear churning I still attempt to seek out high value products with a goal of synergy. It’s possible you just haven’t been fortunate enough to encounter them yet, or you did, but they didn’t play well with the rest of your system at the time. It’s my opinion that never before has there been a better time to be an audiophile on a budget.
 

And it’s worth mentioning what can be accomplished through DIY. It’s possible to DIY a $1500 speaker that competes with $15,000 speakers all day. That’s no exaggeration. Sure, it takes some leg work, probably more than the well-heeled want to devote, but it is indeed possible to achieve great sound on a modest budget. 
 

I don't like the word inexpensive either, I prefer inferior.

Purchased a Marantz 2235B receiver with Apollo speakers at Dow Sound in California 1970s. My friend purchased a Marantz 2275b and he thought my receiver sounded better even though it was less watts per channel.

Also for me, the one that comes to mind: Hafler DH101

some nova 6 [RS] speakers, mellow and surprisingly non-resonant [compared to their other speakers] first order crossover acoustic suspension design. a 1973 pioneer sx-737 35 wpc receiver which paired very well with the radshack speakers. a used akai 250D reel tape deck, solid tone with extended trebles. a technics sl-5 compact linear-tracking turntable with a shure m97HE cart on it. 

iFi Zen Stream What a killer

Belles pre-amp I bought used $199

Home built jam kings based off Electro Voice SP12B BAM!

NAD moving coil cartridge

Grado G1+

Denefrips Ares ll DAC