Higher priced cables tend to have better (thicker) gold plating on the contact surfaces, which helps a lot to ward off intermittent connections. Also, good cables are more immune to the copper conductors oxidizing, again contributing to good contact over time. Foil shielding is common also on better cables, which affords 100% shielding.

The advantage of having the shield connected only at one end of the cable is to reduce any current flow through the shield in the case of a ground loop. This is more effective in a balanced wire however.

Aside from that, I don't believe any good cable would 'sound' any better than any other.

I use RG-59 cable throughout my system. I make my own cables, and prefer to use BNC connectors on equipment I make myself. For RCAs, I use ones made by Canare. RG-59 makes an excellent all purpose cable for digital as well as audio, as there is no bandwidth restriction on it at the relavent frequencies. I have an engineer friend who did a lot of lab testing of various cables, and RG-59 came out on top. If you're handy with a soldering iron, you can't do better.