A couple of factors to consider
B & W speakers are highly regarded on this website and I can’t recall seeing any negative comments about them, except maybe that they are relatively expensive. Klipsch speakers are generally regarded as having too much high end, or brightness, attributed to use of horn tweeters, but they are generally higher efficiency, thus requiring less power from the amplifier. (I have Klipsch surrounds and they sound fine for me). The B&W speaker sensitivities run from 84 to 90 dB, while the Klipsch run from 96 to 97 dB which is significantly higher.
Speaker sensitivities and amplifier power are a factor in your speaker selection if you plan to use the system for stereo listening and use full amplifier power into the main (front L & R) speakers. If you are always running 5.1 or 7.1 modes, the subwoofer will handle the power demanding deep bass and the remaining speakers will probably run fine on as low as maybe 80 W/channel (conservatively rated). If you plan to run stereo with the mains, the Klipsch speakers will run with a lower-cost low-power amp while the B & W need a pretty good amp (maybe 120 Watts (conservatively rated) – I am guessing here depending on your room, preferred loudness, etc.
The B $ W subwoofer has an 8” driver which goes down to 32 Hz +/- 3 dB while the Klipsch has a 10” driver and goes down to 25 Hz +/- 3 dB, which helps explain why you liked the Klipsch subwoofer better. You might want to take a look at SVS and HSU 12” subwoofers as they generally produce very good and powerful bass ranging down to 20Hz or below, depending on the model. You can call or e-mail these companies with your room size and get a subwoofer model recommendation which will have enough sound output to fill your particular room. SVS also has a couple of 5.1 and 7.1 speaker systems starting about $1,000 which are well regarded. The advantage here is that you get a very good subwoofer which accounts for about half of the total system cost. Both SVS and HSU are internet direct distributors, but I believe they both have a 30 day return policy if you don’t like the way they sound in your home.