Depends on where you're wanting to see an improvement - looks or durability?
For looks, given than 90-95% of the overall look is achieved by all the pre wax stages (i.e the polishing/glazing etc.), then to change or upgrade could only give you a slight 'change' in appearance, which might or might not be 'better', and is often largely subjective. People often convince themselves that their new (and usually more expensive) wax looks better to justify the purchase.
We had a large and controlled wax test on Detailing World last year where several identical cars were prepped in the same way and half a dozen waxes ranging from 'budget' to 'mega bucks' prices were applied, and in most cases people either couldn't see the difference, or they voted for the cheaper ones (nobody knew which wax was on which car).
Now durability can be quite similar and it doesn't necessarily follow that spending more will show an improvement here, but it is often the case that the premium 'boutique' waxes do last longer. Having said that, I've recently rediscovered Meguiar's #16 and for the paltry sum of about £12 for a big tin, it's up there with the best waxes for durability.
So, if you're currently using AG HDW, then I'd suggest having a look at either of the Raceglaze waxes (42 or 55), any of the Dodo Juice range (which one depends on if you prefer a hard or soft consistancy and what colour your car is), or their range topping Supernatural, or new triple layered 'Austintatious'. Have a look at the Meguiars #16 as well, which in my honest opinion does everything the AG HDW does but for a third of the cost.