Just start going out to your local hi-fi stores. I'd set aside about $1000-$1500 for a subwoofer (two would be better), so look around for a set of speakers that fits the rest of the budget. There are many options locally, as well as internet direct. The ID brands get pushed a lot here, and while I do not think they're all they're made out to be, it's definitely a viable option.
Other things to think about:
- Acoustical treatments. Your room and speakers are the biggest influence on the sound you hear. Spend your money here before anything else. Since you've already purchased the "else", be sure to include some budget for fixing the acoustics in your room.
- Multiple subs. Multiple subwoofers not only offer more powerful bass, but also more even bass and better imaging when used in a true stereo setup.
Edit: If I were to suggest a brand of speaker to check out, it would be Vandersteen. The 2CE signatures with matching surrounds and center should just about fit your budget. The only caveat here is that they are floorstanding speakers, and I do not know if you want to go this route (the 2ce sigs only, the surrounds can be mounted on stands and whatnot).