It's all up to you, and we all hear things differently.
My suggestion is to go to a good audio shop, (not Best Buy)
and listen to a bunch of different stuff to find out what really sounds good to you. Also make sure to explain what type of vehicle that you're putting the stuff in to the tech. He can then help you build a good system.
Remember, you get what you pay for. Do it right the first time so you won't be disappointed later on down the road, and have to do it again.
If you're confident in building your own, here's what I would recommend.
Not that it's the best or that other equipment is bad, this is just what I have.
For head units, I would recommend Pioneer or Alpine.
For Subs, I would recommend Rockford Fosgate's P2's or P3'3
For Amps, Rockford Fosgate Power Series all the way.
They drastically underrate their amps, so you ALWAYS get more for your money. I bought a T500-1BD to power my subs, and it actually puts out 800watts, opposed to the rated 500watts. I have an Alpine powering my other 4 speakers @ 300watts.
As far as where to buy:
There is a place called Cartronixplus.com. Check them out first. They have amazing prices. That's where I bought my Rockford amp. I only paid $260 for an amp the costs over $500 elsewhere. It sounds to good to be true, I know. But it's not. The thing came to me new in the box and sealed. I've had ZERO problems with it. The only thing about that site, is that alot of the stuff is always "sold out", because of how cheap they are selling it, not alot stays on the shelves very long. But you can still find great stuff there.
Here's a link to my stereo upgrade. It's kinda long, but it may give you some ideas. Hope this this helps.
Finally Going To Do The Sound Upgrade