I think the all-in-one units simply sacrifice sound quality for convenience and cost. If you have to have it all at once, that's fine but with some careful selections and some bargain hunting, you could put together a much better sounding system.
An entry level receiver with a pair of bookshelf speakers and a sub is a great affordable place to start. From there, you have lots of options. You can add the center and surrounds later or you can upgrade the fronts later, add the center speaker for the new fronts and move the bookshelfs to surround duty. This way may cost a bit more, take more time to research, shop and acquire but the payoff in sound quality is worth the effort and expense.