There are a few ways to go about it. (all include shopping and listening to as many speakers as possible before you start)

Option one - This is if music is the most important thing to you. Get the mains first. (sub if needed) Then matching center & surrounds.

Option two - This is if HT is top on your list. Get 4 bookshelf (& 1 center) speakers from a company that makes matching mains that you like. Get a good sub. You can add the mains later and move the bookshelves around to go to 7.1 instead of 5.1.

Option three - This is if you plan on slowly putting together an expensive system. Get 2 high quality bookshelves and a great sub. Save up for the center, 2 more HQ bookshelves and then kick butt mains.

Option four - This is if someone thinks up a better way. Listen to them and decide what means the most to you.

Don't forget to go listen first. Bring the same CD & DVD with you to all demo's.