Tubes, capacitors, and signal-carrying transformers are thought to be the main ones.
There is good evidence for tubes, as the cathode "forms." It's a long, technical story, poorly understood by most people (including me!).
There is, as far as I know, no proven theory for capacitor burn-in, though there are several more-or-less plausible ones. Mostly it's a matter of observation - many people hear it (again, including me!).
Transformers and plate chokes seem to break in similarly to capacitors, perhaps due to the winding capacitance, though there are other effects like magnetization history.
