Honestly, people who say they can hear differences are more than likely being fooled by the very powerful placebo affect. I too was fooled into believing that every little thing in the system really mattered as far as sound quality was concerned.
I truly believed I could hear a difference between my Emotiva ERC-1 and my Xbox 360 when playing CDs. I brought my friends over, and they too could hear a difference. I even went on the Emotiva forums and recommended the player to others on the basis of what I had heard.
Then on one of my days off, I was reading into the likes of double blind testing. I became very interested in the subjects and decided to set up a small scale version between me and my friends. We couldn't control every variable in hour small household environment, but we could remove sight from the equation simply by putting a blindfold on.
The results, well...all of us could easily distinguish between the four speakers we pitted against each other, and generally the more expensive speakers did sound better. On the other hand none of us(there were 7 of us ) could tell any difference in any of the receivers or any of the cd players. A couple of us thought we could but ended up picking the crap cd player over the Emotiva ERC-1. There were four receivers ranging from a $1500 Denon to a $140 Yamaha. There were 3 CD players: Emotiva ERC-1, Xbox 360, and a Sony DVP - NC675P DVD player costing less than $20.
Of the 7 participants, 5 admitted they couldn't hear any difference(keep in mind that all 5 of these people solemnly swore they COULD hear a difference - some even going as far as saying they heard a "Big" or "Huge" difference- when they weren't blindfolded), the other 2 claimed they could barely tell a difference. Of the 2 that claimed to hear a difference, one said he liked C best which was the XBOX 360 and one said he liked B best which was the $20 Sony.
A great article to read involving double blind testing is this one http://www.matrixhifi.com/ENG_marco.htm
It pits a sub $100 CD player against a $1300 dollar CD player along with many other expensive "placebo" components.
Even if there were very tiny differences in the sounds of CD players,(and there very well could be since the double blind test don't prove that there aren't differences in sound, they simply prove that those differences are too small to be distinguished when the person can't "see" what he/she is listening to), I wouldn't suggest buying a CD player for an increase in sound quality simply because spending for example $500 on some GIK acoustic panels is going to net you 1000 times the increase in SQ as spending $10,000 on some Reference CD player. Simply buy the CD player that has all the features you need and save the extra money for things that will actually increase the SQ, such as speakers, room acoustics, and even amplification if you like to listen loud.
Here are two sample systems.
System 1: Total Cost : $10,300
5 JTR Triple 8s
1 SVS PB-13 Ultra
1 GIK Room Kit package 3
1 Emotiva XPA 5
1 Yamaha RX-V663
System 2: Total Cost : $258,265
1 Definitive Technology BP 7004 5.1 System
1 Yamaha RX-Z11
5 McIntosh MC2KW
1 Burmester CES2008
The fact is -and it really is the truth - is that system 1 would totally and completely blow system 2 out of the water even though it only cost a fraction of the price. Why, because the money was spent where it matters most(Speakers, room acoustics) as opposed to spending money on components that can't be distinguished from simple $100 components in DBT.
Also, I am open to the possibility that I am wrong. If someone were to set up and document a DBT in which a large number of people were able to clearly distinguish between and say "ya, that $1,000 cdp is in a completely different league from that $50 cdp" then I will be the first to advocate the purchase of such products. Until then, I will continue to try to inform the uninformed.