All the interconnects I buy are very well constructed and from well respected manufacturers. I haven't encountered any manufacturers who make "snake oil" claims but I've also not had exposure to everything that is out there. I have read some pretty deep bullshit in the advertisements for certain tweaks. I usually research what I buy and I almost always buy used at a price that I can resell if I don't like them. I'm all about bang for the buck.
I'm not entirely convinced that I will hear burn-in with interconnects, but some of the manufactures claim that the wires change with time and burn-in is widely reported in the community, so I want to try some experiments. I'm playing with different wires right now and when I find the make and model I want to use through out my system, I'm going to buy a few pair of them new. So I'm preparing for that time when I'll have fresh wires with which to do a controlled test.
I have an MSEE. My concentration was processor design and organization, but I took all the core courses in field theory and semiconductor materials. I'm sure that there are EE's out there who would be able to construct a very good argument for or against audible effects of interconnect burn-in, but I have not met one yet. Every argument on either side (the valid arguments, not just religious rants) leaves me thinking "well that sounds good but that isn't a complete proof". My own knowledge of materials is sufficiently lacking that I can't construct a strong argument either way and I don't always know enough to counter the flaw in an argument, but I just know enough to recognize an incomplete proof. I think that if there is a complete proof either way, it's more likely to come from someone with a background in applied physics related to materials.
As you suggest, I'm going the empirical route. It's worth the effort just so I can satisfy my curiosity. When (if) I do, you're welcome to come participate in a double blind test. Just bring beer.
edit: spelling, grammer