Summary
Essentially, the main offenders in speaker leads are resistance and inductance. Of these, inductance is the hardest to minimise, and although usually small, it may still cause problems with some loads (see update, below). Many construction methods have been used, from multiple CAT-5 data cables, with the wires interconnected (usually all the coloured leads are deemed the +ve conductor, and all the white wires - the "mates" - are used as the negative). Because of the tight twist, the inductance is minimised, but at the expense of capacitance. In some cases, the capacitance may be high enough to cause instability in the amplifier, which not only does awful things to the sound, but can damage the amp.
Another popular method of minimising inductance is to use a pair of coaxial leads (e.g.75 Ohm TV/video coax or similar). The inner conductor of one and the outer conductor of the other are joined to make the +ve lead, and vice-versa for the negative. A good quality coax has a relatively low capacitance, and by interconnecting in this way, inductance is also reduced by a very worthwhile margin.
It is widely held that with difficult loudspeaker loads - as presented by many modern speaker systems with complex crossover networks - that reducing inductance can be very beneficial. This is especially true where the crossover causes significant drops in impedance at some frequencies. This also places unusually high demands on the amplifier - one of the reasons that some amplifiers just don't "cut it" with some speakers.
These problems can be reduced or even eliminated entirely by biamping or triamping [3], allowing the use of good quality but not extravagant speaker leads.
Resistance, which is easy to eliminate, reduces the damping factor and wastes power. With even reasonably robust leads, this should not be an issue