I think it is difficult to hear differences when switching back and forth between components, but it is easy to hear differences over the long listening session. Everything starts sounding the same when you switch back and forth between them, even if there are some large differences in actuality. For instance, when I first go from system to system at a RMAF, the systems sound completely different. However, by the end of the day, I've done so much comparing, they all start sounding the same. But, if you live with just one system for a while, you start to understand all of its sound characteristics.
I've owned at least a dozen different CD players and could tell the differences between some of them, but not all of them. There are just as many reasons as to why CD players sound different as there are for amplifiers or receivers to sound different, after all, most people use the analog outputs and the design of the analogue section surely has an effect on the sound. Plus, there are many ways for the CD player to process the bits. There are also varying levels of jitter, switching distortion, bit retrieval, error correction, filtering, etc. among CD players, so to say that all CD players sound the same is just plain wrong, IMO.
Recently, at my house I had a get together of music loving audio nuts like me and we listened to some CDs via my Pioneer Elite CD player. We all agreed that my system didn't sound nearly as good as it did via my turntable. The Pioneer actually sounded harsh, to my ears. Actually, we were listening mostly to SACDs. I also have an Ayre QB-9 DAC in my system and am very pleased that normal CD quality files (redbook, 44.1K) sound better, processed through it, than SACDs do from the Pioneer unit. It's not the media, it's the implementation.