I started with Auricap then went to Russian k40 and then some huge Russian Teflon ones and finally some Mundorf silver gold oil ones (I think). On the cathode bypass capacitors I went through F&T, Nichicon, Elna and even a black gate of some sort. I thought I could tell difference with some but I now question my ability to judge the sound fairly after a recent instance where I swapped out my cheap DAC for, what for me is, an expensive one and was initially blown away by the improvement in sound only to then put in a switchbox so I could quickly A/B them and ended up in a blind test nearly half the time picking the cheap DAC as the best sounding one.
I also must have changed out the bias resistors a half dozen times as well as power supply capacitors and 2 different rectifier tubes and a handful of different resistors in the power supply section. With nearly a dozen different 6N1P tubes and 6550, 6L6GC, EL34, KT77, KT66 and KT88 tubes I was the poster child for chasing useless tweaks and I think only now am I getting close to the original sound again.
Oh, yeah, and at one point I even managed to bias a set of tubes hot enough that I exceeded my power transformer rating and killed it (I assume that is what did it in).
I think a key difference is those changes are well thought out and serve a purpose.
I'd read a post from someone talking about how something made a big improvement in their amp and I'd just have to try it.