There are basically two sensible reasons to get a power amp when one already has a receiver:
- One has difficult to drive speakers for which the current receiver is not suitable (e.g., low impedance).
- One wants to be able to play the music louder than it can currently play undistorted.
And even in the second case, it could be that one's speakers cannot handle more power and are the source of the distortion, and so it might not help; it will only help if the amplifier is the limiting factor, and not if the speakers are the limiting factor.
For most people, buying separate amplifiers is equivalent to flushing their money down a toilet.
Regarding blowing one's speakers, as Steve81 states above, if you hear distortion, turn down the volume. You can safely run an amplifier capable of putting out more power than the speakers can take if you use good sense. But, having more power than the speakers can handle does not do you any good; it just means that the limiting factor in how loud your system can play is the speakers and not the amplifier.
As for adding a subwoofer, if you like the one you have, adding a second one like it can give you increased bass capability as well as likely improving the smoothness of the bass response (if sensibly placed in your room). You could also ditch your current subwoofer and upgrade to something better. Either would likely make a real audible difference in your sound that, depending on how much better bass would matter to you, could be valuable to you. On the other hand, if you are satisfied with the quality and quantity of your bass, then this would not be a good place to put your money.
As for going to separates, very likely, in the future, a receiver with the processing needs that you will want will cost about the same as (or possibly less than) a preamp that has comparable processing, so I really don't think that new formats are a cause to go to separates. For why you might want to go with separates, see the list above. If nothing on the list applies to you, save your money. And even if something in the list does apply, good receivers have preamp outputs to be able to be used with separate power amps, and so it often is just as well to buy a receiver even if one never uses the built-in amplifiers, because, due to the effects of manufacturing in quantity, it is often just as cheap or cheaper to buy a receiver than a separate preamp that is approximately equivalent. Besides, often one can use some of the channels of amplification for some of the speakers, like the surrounds, and so one can avoid spending the money to buy separate power amps for all channels.
If you must upgrade, the first place to look is virtually always the speakers. They determine how your system sounds more than anything else. Then consider room acoustics, which can make a significant difference as well.