I'm going to have to go with input device, my Logitech Trackman wheel. I bought its predecessor originally for $100 back in the early 90's and have made sure I have one on every computer I use since.
But every time I upgrade some component it seems like a great thing. Going from monochrome to color monitors was fantastic. Then from a 15" to a 21" to dual 21" monitors was great. I like the extra screen real-estate and desk space with my current dual 24" flat panels, but I still think the dual Eizo CRT's looked better.
Going from a crappy VGA to a Matrox Millennium was a phenomenal improvement for 2D. Adding a Voodoo FX card took Quake and Hexen to a whole new level. Obviously every new card since has been a step up, but nothing as extreme as what those two cards were.
Having a system running on 4 Megs of RAM and going to 16 and then 32 megs was insanely noticeable. But these days unless you have a seriously under built machine, RAM doesn't have quite the same impact.
I noticed a big difference between my old 5400 HD and the Micropolis 7,200 RPM SCSI drives I upgraded to. Also a difference in decibels. When I went from 15,000 RPM SCSI to SSD, I noticed a difference, but not the golly gee wiz I was expecting.
I've had gigabit copper in my house for over a decade, so my memory has kind of faded about the jump from 10 to 100 to gig. But I never tried moving 5 GB files around on those very often either.
What about print quality and speed going from dot matrix and daisy wheel printers to modern laser printers. It's funny how we've long surpassed "photo realistic" ink jet printing. That seemed to be the big marketing buzz in the mid to late 90's. Scanner speeds have gotten dramatically better too.
Probably my second favorite upgrade is between dial-up and broad band internet. Frankly that dwarfs just about everything else.