From my DIY experience (which sadly dosen't include turntables and tube preamps/amps) maximum improvement happened by changes in the preamplification stage. This was very obvious in the days of the cassette tape. It was possible to choose a good tape head and head preamplifier, so that the signal was completely in the control of the DIY-er from the tape level (millivolts) onwards. In the "universal preamp" circuit by Philips which I had assembled 15 years back, the tape head input was amplified by 1.3 dB. (the preamp had a magnetic pick-up input also, which was amplified by 38.84 dB). At the preamp stage noise pickup should be an absolute minimum, and high fidelity should be ensured. Nowadays CD players have built-in preamplifiers, and their outputs can be directly connected to a power amplifier. If I were to upgrade my audio system now, my first step would be to find the best sounding CD player. Technically, a high quality DAC, class A amplification, shielded cables and good power supply should do the job.
Next, power amp. Right now I am using a single-ended input, current feedback topology, that gives high slew rates (good transient response). It is of near-monoblock construction (power transformer is shared by both channels, but the bridge rectifiers and filter capacitors are separate). I have noticed that filter capacitor brands are crucial: bad capacitors can make the final sound very dull.
Now the speakers. I prefer two-way speakers (simple 8" woofer and dome tweeter). The crossover topology is important. For me it is first order; it has the best transient response, and is most musical. Once I used a 4th order crossover and the sound was very clinical (some people may like it though). The speaker boxes are heavy and sturdy, they don't vibrate while singing.
This system of mine cost about Rs. 10,000 (USD 200) in India after assembly, of which about USD 100 went just for the CD player. I am happy with the sound when played at reasonable volume levels.
To put things in perspective: during thanksgiving weekend myself and brother-in-law were shopping around in Seattle for a music system for him. We visited many shops, and happened to hear fairly expensive speakers (10 K to 15 K range) in the audio store "Magnolia". An elderly gentleman there, who was knowledgeable in music as well as electronics, was kind enough to play B&W, Sonus Faber and Vienna Acoustics speakers for us. We liked the Sonus Faber best due to its musicality and soundstage. It was played through a McIntosh amp (around 5 K). The unbelievable fact is, my own 0.2 K system sounds about 75% as good as the Sonus Faber + McIntosh combination! The major difference was in the soundstage: the sonus faber+McIntosh sort of "disappeared" while music filled the room, but my own system is not so inconspicuous.
My two cents.
Reji