I would also add that subwoofer's performance doesn't scale with price that well. There are $200 subs that can outperform $500 subs, and there are $500 subs that can outdo $1000 subs (although I don't know of any $200 subs that can beat a $1000 outside of the DIY realm).
I can tell you that most subs you see at the best buy type stores in the $200 range will be boomy but have no articulation, that is they won't differentiate the low notes on a bass guitar or pipe organ very well. Since you listen to music as well as watch movies, you will want a sub that acts like a real speaker rather than a box that rumbles. There is a big difference as I found out going from a Aiwa to a HSU.
I have a range of HSU subs, and I can try to explain the differences going up the price ladder because I am very familiar with their sound. I have a STF2 ($350), a VTF3.3 ($700), and a couple ULS-15s ($1300 each).
The STF2 is plays low notes beautifully and cleanly with respect to the stuff I purchased from best buy in the past. Dollar for dollar, it will outdo anything you can buy at a store, as will most internet direct subwoofers. It doesn't go really deep that you can feel it in your chest, but than again most recorded material doesn't even have that kind of stuff in it. It is still a joy to listen to, even though I have moved up to bigger things.
The VTF3.3 is a sub that you can feel as well as hear. It gets much louder and deeper than the STF2. Unless your listening room is sound insulated very well, people in adjoining rooms will hear it and feel it very easily too. If you want to make earthquake scenes in movies seem much more realistic, this is much better. It plays back very low pitched music, like organ music, dubstep, rap, and drum'n'bass cleanly and clearly at very loud volumes, and it will make you feel it all, A magnificent subwoofer.
The ULS does all that too, but more effortlessly. I don't think it is can really get much louder than the VTF3.3, but it is 'quicker' and sharper. It makes things like lighting strikes and gunshots sound much more realistic. An analogy might be that if they were cars, the ULS would have better acceleration, handling, and braking, but not top speed. This is a fantastic subwoofer! You can find ones that sound louder, but not many that will sound better.