The Actual Wire Itself
The wires to a speaker system have to be as thick as you can possibly buy without breaking the bank. The reason for this is evident if we look at the physics behind the type of electrical system we're trying to build.
As signal is pumped into the wire, the signal starts to degrade immediately. This is a real issue for audiophiles because chances are you have a cable running from your equipment to your amplifier and then out individually to each speaker. Don't worry so much about the equipment-to-amplifier cable, as long as you have HDMI or a TOSLink, you'll find that the degrading audio quality there is relatively low because those cables rely on transferring digital signal in a very short amount of space. What you should worry about is that pivotal amplifier-to-speaker wire.
Once the digital signal reaches the amplifier, it undergoes a kind of Golgi-esque processing to make sure that it reaches the right destination - that would be those red and black plugs you see on the back of the system. Those plugs work completely in electrical wiring, so you're no longer dealing with 1s and 0s, but rather an analog signal that is subject to degradation just like any other analog signal. That's why using a thicker wire will help - because as the distance the electricity has to travel increases, you'll want to be able to have a thicker wire to prevent signal loss half-way through the cable.
In order to ensure that the cable doesn't see a power loss mid way through, you'll want to buy cable that's at the bare minimum AWG 16. This number is a standard cable gauge measurement, so it shouldn't be an issue to find this kind of cable at your local cable supplier.