I recently brought a guitar and the guy in the shop (who doesn't play guitar) selected a cheap (£3!) guitar cable. The cable made my guitar suck! But after buying the Planet Wave Custom Series cable the sound clarity improved MASSIVELY! It sounded like a different instrument, the tone knobs actual did something!
When you think about it, it's obvious why a good cable is important. The electrical signal generated by the string(/wire) moving across the pickups is tiny, probably a few millivolts. This signal can easily be swamped by RF and other noise, hence its important to keep the signal shielded. In comparison, a speaker cable may have many volts running through it, so it doesn't need much shielding, if any.
On the subject of shielding. The cable has one end which says "Shielded End", I found out that this end should be plugged into your amp, as it will connect to the amps ground and therefore take away noise "captured" by the shielding.
To sum up, if your buying a new guitar DONT skimp out on the cable! It's vital you buy a decent one, like this one!!