The Denon amp I'm sure is a very capable unit. 130 watts should be more than enough for most people. All you have to do is buy some speakers that have a power rating in that range.
I know it isn't the ideal way of keeping track of volume, but you can use the volume indicator as a very rough guide of volume. I've only heard people having difficulty with their receivers when they turn the volume near to the maximum level. The maxmium volume setting and settings near the maximum, on many receivers, may result in large amounts of distortion. Ideally, you'd want to calibrate the volume, but you don't have to do this.
3. I'd go on reviews and auditioning.
www.homecinemachoice.com is a very good site for reviews. I think the easiest thing to do is buy a complete 5.1 surround kit.
I know you can argue against this, but I think if a speaker is good for stereo music, then it'll be good for home cinema, but the reverse is not necessarily true. You can build your system around two high quality stereo speakers. If you have a projector screen, you could buy three identical front speakers - this would be the best solution.