THX encompasses a few different things:
1. THX certification for receivers and amps means that the unit has passed the THX tests for power output, minimum impedance handling, and other things (the exact requirements are not public and about the only things I have seen confirmed are 40 volts rail voltage and minimum impedance handling of 3.2 ohms). As you listed there is Select (now Select 2) and Ultra and the requirements differ slightly as each certification caters to a different size room. There are other requirements too, like color coding the inputs and speaker outputs and the slope of the xover.
2. THX post-processing: re-eq, timbre matching, and adaptive correlation. Read about those on the thx site. All THX certified receivers include those features.
3. THX-EX is a matrix decoder and is the predecessor of Dolby Digital EX. If a dvd says 'thx' on it it could mean that it is flagged for thx-ex and the player/receiver will automatically engage the thx-ex mode for playback. But it could also mean that the dvd itself is thx certified - that only means that it was mastered according to thx standards. So a DTS dvd may be certified as having been mastered according to thx standards, but not have thx-ex flags on it.
There is no 'best' format, although people certainly have their preferences. I say THX is nice to have, but is not absolutely necessary. Your thinking of skipping the THX certified receivers and sinking the money saved into better speakers is a reasonable idea. Better speakers will likely do more good than having the thx post processing modes available.