First, the required caveats.
1.
You have to have decent equipment to hear the differences between interconnects. A Denon player 19xx and up, a mid line Yamaha receiver, and
speakers with extended high frequency response (Vifa XT25, B&W aluminum domes, ribbons, etc. for tweeters) for example.
2. The subtle differences are best heard on well recorded classical/jazz/vocal etc.
3. You should audition cables in your own home. Don't buy "hear-unheard" from a place with no returns.
Here we go:
Air is considered one of the
better sounding dielectrics (well, vacuum is better but just a little hard to build

). Thus the Audioquest Diamondback, the current model of which runs each conductor through a small polyethylene tube with a larger inside diameter than the diameter of the wire. Thus the wire only touches the tube occasinally, and is mostly surrounded by air.
This is the highest price interconnect I recommend thinking about unless you have really good equipment. I paid about $100 per meter pair a couple years ago and that's all they're worth (IMO) -- the current MSRP of $150 is just too high. Highfi's statement that adding a battery to this cable geometry is insane slightly misses the mark -- it's the MSRPs that are insane

Putting
a slight potential difference an the air tube design does give a slight improvement in sound; however, the air tube design without a battery (Diamondback) gradually devepts a slight DC charge imbalance over the first 30 minutes or so of operation.
A disadvantage of this type of cable construction is lack of mechanical strength. Don't fish this through walls, or use it where it might get stepped on.
Next down the ladder is Teflon, best exemplified by Belden 89259. This cable is the basis for one of the best DIY designs by Jon Risch, but is difficult to find in bulk. Fortunately Blue Jeans Cable, RamElectronics, and SignalCable all carry Teflon interconnects; I'll link to BJC's page:
http://bluejeanscable.com/store/shopbycable/89259.htm
and as you can see, you're still looking at $90+ dollars for a 3' pair.
Teflon cable is not very flexible, avoid it where you need tight radius bends.
Next are foamed dielectrics (usually polyethylene) -- the previously mentiond Audioquest Sidewinder is an example of this. Many vendors carry this type of interconnect -- here's BJC's Belden 1694 page:
http://bluejeanscable.com/pages/technicaldocs/1694tech.htm
and we're under $30 for a one meter pair.
Don't expect much from cable upgrades with average equipment. If you can't already hear the difference between good and average recordings you are wasting your money. If all you listen to is rap and tech you are wasting your money.