Now, I'm not saying you need to buy a cheaper guitar or a more expensive amp to sound better - far from it. I'm here to argue for a decent investment in the medium between your axe & amp: your cable. This alone can have a significant difference in the overall sound of your rig and your enjoyment of it.
Instrument cables usually consist of a insulated, stranded copper conductor wrapped with a stranded copper shield, all encased in a rubber sheath and terminated with 1/4" male phone plugs. Our first concern is the cable's length. The longer the cable, the more treble is lost between guitar and amp. I have found that significant treble loss starts to occur in cables longer than 10 feet (about 3 meters). This is due to phenomenon known as capacitance; in a nutshell, a long cable acts like a fixed tone control on your guitar, rolling off highs and robbing your pickups of clarity. For many situations, though, a 10-foot cable is impractical. In this case, selecting a cable that's designed to avoid tone loss is the way to go - low capacitance and spiral shielding are the buzzwords here and my experience is definitely that you get what you pay for when it come to cables.
Adding to the fun, most electric guitarists use stompbox-style effects these days and thus have double the cable, compounding the "tone suck" inherent in the effects. I had a series of true-bypass pedals wired up with budget connecting cables and a loop box (this removed the effects between the guitar & amp when desired). When I stepped on the loop and brought in the effects, my signal level dropped and became lifeless. I inserted a buffer pedal in the chain and things improved somewhat, but it wasn't until I replaced all the cheap cables with premium ones (with a capacitance of 30pF/foot) that I heard what I wanted to - nothing! No difference between the sound when the loop was in or out. A few companies offer kits to make cables and wire up your pedalboard and I'll be happy to share which brand I used in the comments section if you're interested.
In summary: skip the takeout coffee for a week or two and spend a little extra money to get an instrument cable that offers low capacitance, good connectors, and quality construction. (A good warranty is the surest sign of a company that takes pride in its work and stands behind their product.) Isn't your investment in a guitar & amp worth the best connection between them you can afford?