Expensive cables were invented to take advantage of uneducated buyers who were purchasing new technology, and its made some people a hell of a lot of profit.
At the end of the day, HDMI is digital, which is on or off, so as long as there is a connection it doesnt need uber high quality connectiors and sheithing. Analogue is a whole different story though.
As an engineering student who worked in the AV industry for 3 years proir to uni, i'd like to clear things up.
Profit bit is true, some of the higher end cables have up to 700% (yes two zeros!) margin

i.e cable bought for £10 from supplier, is sold at about £100, so after taxes the company makes ~70. note this was the worst case i found most are much less than this. Cables+Tables are the only place AV stores actually make real money. TVs and the like usually have less than 10% return.
"digital is on or off" WRONG!!!!
that concept is a massive simplification
*****DIGITAL IS NOT 1's AND 0's ******
This is a common misconception. We live in an analogue world where you can have a virtually infinitely small increase in anything. The concept of 1’s and 0’s is a simplification, for ease of design, calculation and engineering processes.
In reality, these 0’s and 1’s are simply arbitrary analogue voltage levels within a system. A ‘0’ is not 0Volts or else the system would actually be turned off, incredibly inefficient and slow.
As an example take a ‘digital’ signal, where the transmitted ‘0’s are 1V, and ‘1’s are 9V.
As these are ANALOUGE voltages they are prone to not only transmission interference, due to propagation and attenuation through the cable, but also to EMF interference from nearby cables/electrics etc, as with ANY OTHER CABLE. (Ever tried putting a decent oscilloscope near a mains cable? – you’ll get a AC voltage field of about 1V all around it, this induces new/changes existing voltages in nearby connectors i.e. your HDMI cable)
So on the receiving end there is always some tolerance (say anything below 2.5V = ‘0’ & anything over 7.5V = ‘1’. Any value that has suffered more interference (i.e. 2.5000001V-7.49999999V) is then sent for data correction, which is an arbitrary logic process designed by the manufacturer (BRAVIA engine™, Live Colour Creation™ etc.), these are basically combinations of seeing what the rest of the signal looks like before and after the corrupt bit, or in the immediate surrounding area of the picture (e.g. colour shade), or if in complete doubt, just making it up... yes I did say that – statistically some (if only a very, very small percentage) of your picture must be made from pure guesswork by your kit.
The reason you get certain cables with ‘better blacks’ etc is the differences in the shielding technology and implementation, which resulst in a purer signal reaching the destination.
So if that hasn't confused you, in short:
A digital signal is in-fact made from analogue values! And hence is just as prone to corruption as an analogue cable. The more shielding, the better the conductors (silver is best) and the purer the copper inside (more 9’s after the 99.%), the better your cable and hence signal will be.
So getting a higher grade cable WILL improve the signal your AV system receives.
However whether you can see the difference is down to both the viewer and more crittically the kit. Cheap kit = worse picture, no matter what cables you use.
Good cables can’t make your kit any better, but BAD CABLES MAKE IT MUCH MUCH WORSE.
The rule of thumb i found to be justified was approximately 5-10% of anything you bought. e.g TV+HT+DVD/BD+SKY package at 1k, £100 of cables for the whole lot was about right
For a 1m cable running through the average tangle of wires behind a tv, £20-40 at retail is about right, anything less and those who know what they're looking for would probably start to notice, anthing more is usually overkill.
On a different matter, Optical cables are essentially the same principal, although they don’t suffer from EMF interference. But the higher grade the glass/polymer, and the better the reflective jackets inside, the less attenuation will occur so less recovery of data is required.
Oh and if you ever have a sales person (in my case it was a ‘regional manager’ in a Panasonic store!) tell you about ‘gold plated’ optical leads, just walk out, don’t dignify him (or her) with the sale. Its a light pulse, gold plating would make the cable worse...fool.
/rant
