I've heard differences between players, although I'd say they're not usually night and day. The biggest difference is usually the analog output stage and this is where a lot of the Mod Shops concentrate. At the last VSAC, Kevin Haskins and I shared a Demo room with Dan Wright (Modwright) and as a consequence spent many hours talking with him. He opined that many units have great digital processing, but the analog output stage is often treated as more of an afterthought. Correcting or upgrading these unit is really what got him started in Audio.
I believe that a good DAC would probably bring a greater improvement than trying to scale the ladder with player upgrades.
A friend of mine built a Twisted Pear "Buffalo II DAC" about a year or so back and liked it much better than his Meridian DAC, which he subsequently sold for $1800.
The "Buffalo II" cost him about $500 at the time, but I see that the new "Buffalo III" would run about $700. I've heard his Buffalo II a number of times and believe that it comes very close to "much" more expensive DACs.
I might mention that at the higher end of price levels for players, it might also be worthwhile to consider moving on to a dedicated computer-based music server, as you can avoid the inherent "nasties" of optical disc playback units.
Best Regardes,
TerryO