The biggies for me were:
Onboard 2D > Voodoo2 12mb - OMG probably what got me the upgrade bug. No SLi for me though.
Naff 12" CRT > 19" PVA > 24" H-IPS - Each time I was taken aback by the quality difference and the huge amout of extra space.
Single > Dual core - Everything felt much snappier then a simple clock bump would suggest.
Generic speakers > Aego M's - I nearly died the first time I fired up a CD with them. Immediately went about getting a proper Hi-Fi afterwords.

I added an X-Fi later and while it was better its was just not the same massive improvement.
HDD > SSD - Even coming from a VelociRaptor, the Vertex just blew it away. On in seconds and the desktop just
there instantly for everything.
Optical mice - It was so nice for the cursor to reliably follow you at last.
56k dialup > 512k ADSL - I dont have to wait hours for a page to load
and I dont tie up the phone line? Like, groovy man.