I only have a two-speaker setup, and I can't tell the difference between CD and SACD. But one benefit of SACD is that it is quite a bit louder (louder signal from line), so better signal to noise, and you can crank it loud without taxing your system = no/low distortion.
No idea about HDCD. I have a DVD player that supports HDCD, but I couldn't tell the difference, although I didn't really spend a lot of time comparing.
BTW, in case anyone is interested in such things, there is a site that sells high resolution digital downloads (up to 96kHz/24bit). From doing a couple of searches, the selection seems crappy, but if you're into Madonna, you're in luck.
http://www.hdtracks.com