Hmmm. One "no" and one "yes". Just to round out the offering, I say, "maybe."
My recent experience ...
I bought a set of Onix Rockets, including the UFW-10 sub. I had an old crappy RCA sitting around for the sub cable and used it. Seemed to work well for music but when I turned on the TV and cranked the sound, the picture grossly distorted each time a bass hit happened.
Bought a good quality Acoustic Research cable (~$50 list, got mine for ~$30 from accessories4less.com) and the problem disappeared.
Seems that my low-quality sub cable was "leaking" RFI and messing with the TV.
So, if you are having a problem like mine or are getting hum (or other noise/distortion) in the subwoofer, a better sub cable may help. Otherwise, you may be wasting your money.
Of course, it is also possible that you are experiencing no obvious sonic/visual problems but the sub signal is being otherwise degraded in quantity or quality and a better sub cable would help. Before spending money on a better cable, try borrowing one from a friend.
Rule #1 for upgrading: If you can't tell the difference, don't spend the money.