It is a good idea to listen to as many speakers as you can stand, as different people have different preferences. The reason being, there is no such thing as a perfect speaker, so it is a question of which virtues you require and which vices you can stand. Typically, the number of vices drop as price goes up, but there are always vices.
The best approach on that is to listen to all of the types of speakers you can find (e.g., ribbon, horn, dome, whatever) that you can find, from as many brands as you can stand, with all of the types of music to which you normally listen, with music with which you are familiar (making a CDR for this is a good idea). You then take your time, over a series of days (or weeks), and select the ones you like best in your price range.
But a couple of general guidelines. You will want your speakers to be able to go deep enough that you can match them up with a subwoofer without being able to locate the subwoofer from sound alone. Human hearing is not good at its limits, so you cannot tell direction for really deep bass, which is why you can get away with using a subwoofer instead of having all speakers truly full range. The THX standard for the crossover is 80 Hz, and so to use a crossover that low, your main speakers should be able to go below that before hitting the -3dB point in their frequency response. About 60 Hz should be good enough. In practice, this usually means a woofer that is 5" or larger, but you should base your decision on actual performance. This also means that you can use bookshelf size speakers for all main channels, as you can send the deep bass to your subwoofer. I have well over $6k worth of speakers, and I use identical bookshelf speakers for all positions (other than subwoofer, obviously). The reason I have done that is that I can get a higher line of speaker that way than what the same amount would get me in tower speakers. And also I have perfect voice matching all around (see next paragraph).
Ideally, all of your main speakers will match, but the most important thing is for the front three speakers to match. That is so that when the sound pans across the front, it does not change tonal character, only its position in your room. The rear speakers matter less, for two reasons. First, they are used for less important sound effects, and second, humans hear better in front of them than behind them. So if you need to save money on something, you can go pretty cheap on surrounds without it being too bad.
The subwoofer does not need to match the other speakers, and it is totally fine to use a different brand altogether. If your budget were higher, I would recommend going with an SVS (such as the
PB-1000), but that would eat up half your budget. My real advice on this is to save up for an SVS and go without a subwoofer for now, but if you do not want to do that, you will want to ask others for advice on cheaper options.
As
lsiberian states above, you can buy a few good things now and buy more gear later to finish the system, if you want to end up with a better system without wasting money buying something that you end up replacing. Of course, if cheaper will be good enough for you forever, then that would save money over buying higher priced gear.
Speakers matter far, far more than the receiver. Buy a receiver that has all of the features you require, but whatever extra you spend on it will mean less money for better speakers, and the speakers matter more for the sound than the receiver. I like Yamaha receivers, but Marantz, Denon, and Pioneer are all worth considering.
Regarding wires, do not waste money on exotic ones. You should not pay more than $1/foot for any wire you use of any kind, and probably not even that expensive. Here is a link to probably all (and probably more than) you ever wanted to know about wires:
Speaker Wire
The speaker wire gauge matters; here is a chart:
Speaker Wire
But you don't need anything fancy, just a big enough speaker wire. For other kinds of wires, you don't generally need to worry about gauge. Monoprice.com is a good place to buy reasonably priced wire, though you can also find wire at parts-express.com and at hardware stores.
