Trendkillah makes some very nice points and to add to the above, cables are also gauged by how complete the shielding is i.e. 25% coverage, 75% coverage, the more coverage the more expensive the cable, the more noise is rejected ! Im using Monster 500 instrument cable's at the mo, they are about 50 bucks and will last a lifetime. I never have to worry about a guitar cable again!

There are also some other things you can do. The first is avoiding all of the things mentioned in fendermonkey77
's post. Also ground loops are a common source of noise and misery. They are easy to avoid and will be prevented by getting a GROUNDED serge protector or four way adapter and plugging everything into it before going into the wall. Some people also use a power conditioner, this is a good idea ! They are about 30 bucks and can make a considerable difference.