List your gear and maybe i can help...... What source are you using?, what amp,etc. You should be hearing differences.
The only upgrade I've made with my own setup is speakers.
I was referring to auditions I've made. Every speaker I auditioned had a very distinct sound, but when I tried different amps, sources, etc, (with the same pair of speakers) I never was able to hear any differences. I was not able to quickly A/B, so there was a couple minute delay between these switches.
edit: I have heard a small difference between two DACs, but it required fast and regular A/B switching.