I am fortunate to own several speakers, several different amps, preamps, etc. I can move stuff between different rooms. I pull stuff in and out all the time, as I like variety. When I first put the major componenets together, the system already sounds great. Only then, I then tweak - just to clean things up.
I find that speaker/ amp combinations make the most difference. This is followed by good preamps, and then cd players. (All of my stuff is pretty much toward the better end of the spectrum.) Also, I find that cables, power cords and conditioners, footers, stands, cd cleaners, etc., make a sonic difference, but are not earth shattering. If I add things one at a time, it's beneficial, but I am not sure if it's worth it. When I add all of the tweaks together, the sonic jump is more "WOW". What do you guys think? Do you have the same experiences? Does it really make sense to make tiny incremental changes one at a time?