ben duncan talks a lot of sense on this subject and knows his onions
Shielded Mains Cables
These are like shielded signal leads, in principle. The braided metal shield intercepts ambient RF signals, but the mains earth wiring can let down the effectiveness of the necessary earthing at radio frequencies unless you have a low-impedence RF earth connection (more on this in a moment). This matter affects the shielding of leads carrying audio signals less, because the signal connections have higher impedance so good results can be had without needing such a low-impedance earth. A metal cable shield around mains wires can also create dangerous situations, for example if it gets disconnected, touches live, and pokes out of the mains plug, for example. Therefore extra work is required to sleeve the cable ends, regularly inspect cables, and so on.
The upshot is that metal-shielded mains wiring is recommended only in extreme situations (say, if your studio is next to a powerful radio transmitter), and only when professionally installed (an electrician is probably needed to help you install a low-impedance RF earth, for example).
Having said all that, a new class of shielded cable (called 'Lo-Rad') has recently been developed by Jenving in Sweden using conductive plastic, which is is designed to reduce any shock risk enough to be safe for home studio and domestic use.
Woven Mains Cables
Typically protected inside plastic tubing, cables of this type comprise several loosely and openly woven strands for the live and neutral sides, with the mains earth wire running up the centre. This arrangement may be hidden by curling and placing inside a jacket, but the hosepipe size of the resulting cable gives the game away. The process of weaving the cable is extremely tedious without special, huge jigs manufacturers have huge, Victorian-style weaving machines and towers that cost enormous sums. This is one reason why this sort of cable sells for such high sums (usually over £20 per metre).
The apparent benefit of these cables is that they provide a ratio of inductance to capacitance (also called 'characteristic impedance') that is quite different to the ordinary wiring that precedes and follows the short lengths you might use in a studio as gear cables. The result of this is that RF noise already on the line is filtered out and/or damped down. Also, due to the weaving (the live and neutral are broken into many strands which repeatedly cross each other at right angles, so that any mutually induced fields cancel) such cable acts as a sort of 'anti-aerial', meaning that the pickup of ambient RF is reduced.
http://www.soundonsound.com/sos/jul03/articles/mainsproblems.asp