There can be significant differences between HDMI cables. HDMI 1.4 signals go up as high as 10 gigabits per second, HDMI 2.0 goes as high as 20 gigibits per second.
At those rates, you're basically talking about sending RF signals down the wire. As with any RF transmission line, things like wire cross-section, twist, spacing, etc. has to be uniform throughout the cable length for good signal transfer.
A cheap cable may be "HDMI compliant" in that it has the right connectors on each end and some kind of nominally correct cable in between, but the manufacturing tolerances may leave any particular cable scraping the edge of those specifications. Higher priced cables generally are made to tighter tolerances, including usually having greater mechanical resistance to damage, so they will most likely work better than one that just barely meets the minimum specifications.
A kinked or otherwise damaged HDMI cable should be thrown away - it will have an impedance bump at the kink or damage and this will adversely affect it's performance.
Don't forget digital signals are all or nothing - there's really not much overlap between working perfectly and not getting a usable signal at the other end.
If you're not having noticeable problems, going to a better cable most likely won't make any difference.
But if you are having problems, it might be worthwhile to invest in a better quality cable.
