With purely digital signals (HDMI, for example) the only way to lose signal - which is a collection of zeroes and ones, nothing more or less - is to make your cables out of things that just don't conduct electricity - old carpet, used condoms, bits of stale cheese, and other things that are quite obviously not what one should make cables out of. With analog, which is far more intricate, the sound can change and noise can be introduced.
This is a common misconception. The reality is that it is still an analog signal running down the wire. The signal is just square waves between a specified voltage. But they are still susceptible to noise, interference, resistance, etc. Depending on the protocol, there is often some error correction built in to compensate to some extent.
But only to an extent, and this can cause errors, jitter, etc. I doubt a human can tell unless it is really bad, but you know people with deep pockets seem to be able to tell a difference. But all digital mediums have this, and most have some sort of correction.
Then it comes down to the design of the protocol. I am not really familiar with digital audio and video formats, but my guess is that the error correction would be pretty low since they need to be realtime. In networks, TCP/IP corrects for errors by basically asking again. UDP is typically used for streaming and realtime since it is a lot faster, but just drops packets if they have an error or don't make it. And you get slight blips or artifacts. Very much simplified of course, there are whole books on TCP/IP stacks and such.
As far as on-topic. Cables do make a difference. Much more so with the high impedance non-linear response of a guitar. That is why buffers and active pickups can be a great thing. They lower the impedance to alleviate any cable capacitance.
Personally I like a bit of high-end roll-off. Try playing with a 1ft cable right into the amp, personally I get way too much fizz and scratchiness and harshness. About 10-15 ft. I get more girth and midrange, from the slight highend rolloff and of course depending on the cable.
BIG +1 to making your own though. Great tone and much much cheaper. And it is hard to beat Canare GS-6 or Mogami for cable quality. Even working with the cable you see how awesome it is compared to even higher priced cables.
If you really want to drop some cash, check out Evidence cables. They are solid core, directional (!??), maybe even frozen to align the atoms. I could hear differences, but not enough to empty my wallet.