Many audio experts and speaker manufacturers say that loudspeakers really benefit from break-in. Like anything else mechanical, the drivers—the midrange and woofers—found in almost all speakers have moving parts that move more freely with time, or effort. Two components may particularly benefit from a break-in period: The surround, which can be made of various types of rubber or foam, is what connects the edge of the cone to the speaker basket, and the spider, which connects the basket and the center of the cone.
Both surrounds and spiders are flexible; therefore, allowing them to experience their full range of motion and loosen up results in freer movement and better response. Think of it like stretching before you exercise. There are several simple ways to break a speaker in; while you could choose to buy costly gear to do so, it really isn’t required.
The easiest—and most enjoyable—way is to simply play them, choosing music with a wide dynamic range. Playing it just a bit louder than you normally might also help. Many receivers have a test tone that can accomplish the same goal; test signals are also commercially available.
A small warning here: not all speakers will sound dramatically different after break-in. Some improve only marginally, while others do change in ways that may dazzle you. Either way, it’s possible that you’ll notice an improvement.