I saw a hilarious episode of Penn & Teller's Bullshit and they were debunking myths around organic produce and they were conducting a taste test - when they told the subject which banana was organic they all selected the one they were told was organic. When the test was blind most selected the non-organic banana. Some of these people were obviously morons but it gets to the point that I think Jon raised about the scientific method - if your mind is expecting a difference there is a good chance you will hear it whether or not it is there or as significant as your perception of it is. Everything on a guitar affects the tone. I have always thought that the nut only affected the sound of a guitar when an open string was played - I certainly could be wrong. When I was at the music store I sure put plenty of shitty plastic nuts on crappy guitars at thought that they sounded awful but then again, they were on cheap guitars. I have graphite nuts . . .
on all of my electrics except my old Strat and Les Paul - they are original and plastic I think. I haven't put a brass nut on any of my guitars since shaping them is kind of a pain with my available tools but will probably see about putting one on my under construction guitar. Though without recording it with the same amp settings, microphone, strings, etc doing a good comparison is impossible. Not that it really matters because perception is reality after all.
Here's Jerry's brass nut