I've heard that those round cables, while improving air flow, can reduce performance due to the interference of having all those wires so close together. I've also heard that using ultra ATA cables for all your IDE connections can improve performance because ultra ATA cables are less vulnerable to interference between each wire.
If it makes you feel good, and you've got the money to spare, then get some fancy cables, but I think you'd have a hard time noticing any difference.
I wouldn't say they improve performance, but I like the round (as opposed to flat) IDE cables. They're touted to improve air circulation inside the case. Well maybe, but I just like them because they keep things neater inside the case, making easier to see in there.
There is also the case of the 80 pin (as opposed to 40 pin) IDE cable that is REQUIRED to take advantage of ATA 100 performance. The 40 pin is only good for the older DMA 33 drives.