This is where it all begins. You'll want to get a upper end CD player and possibly one of the new DVD-Audio players that are slowly becoming available. Look for a high signal to noise ratio of 110+ dB and a dynamic head room of 100+ dB. The pre-amp voltage should be four volts or higher to help overcome any noise along the path from the head unit to the amps and processors. Some units will have balanced outputs but that's rare and often only work with amplifiers from that same brand. Expect to pay $400+ for this caliber of head unit.
Most systems will do fine with the built in crossovers found in many amplifiers but for the best sound you'll want to look for external units. This includes equalizers, crossovers and sound processors. Stay away from dash mounted equalizers and focus on the trunk mounted units. All processors should have low distortion (<.01%), high signal to noise ratios (>100 dB) and strong preamp outputs (4+ volts). There are a handful of companies that also make digital equalizers and processors that are even better. Expect to pay $150-800 for a top notch processor depending on features and design (analog vs. digital).
One car audio veteran has a standing $10,000 bet that under the exact same conditions (distortion, noise, and a few others) that a person will not be able to tell the difference between any two amplifiers. Of course under real world conditions there are some amps that sound worse than others, usually due to the build quality of the amplifier. That's why you want to have a reliable brand of amplifier in your vehicle for the best sound and for longevity. For high end amplifiers expect to pay $1-2 per watt of power at MSRP. The smaller the amp, the close you'll be to $2 and the larger the amp, the closer you'll be to $1.
The most important part of any car stereo system, in terms of sound quality, are the speakers. The best electronics hooked to poor speakers will sound terrible. But the best speakers hooked to standard electronics will sound great. If you're on any kind of a budget make sure you don't skimp on your speakers. At least your front speakers should be top notch. Usually a component set in the $400+ range will be superb. Rear speakers don't need to be as pricey and some choose not to use rear speakers at all. Often a quality coaxial from the same brand will match well with the front mounted component set.
Because our ears are much less sensitive to the bass range a top notch subwoofer may not be necessary. This is something that you will want to determine for yourself. I don't recommend poor quality subwoofers but buying the top of the line isn't always the way to go. You can find many world class subwoofers in the range of $300+. Box design has as much to do with the sound quality of the subwoofer as anything. Make sure your installer is building the right box for the woofer you choose. It's hard to go wrong with a sealed enclosure.
Wire, distribution/fuse blocks and power capacitors don't play a big role in the sound quality but do affect the system if they are too small or the connections are poor. Use good quality wire of the correct size with sturdy connections. Speaker wire and RCA cables are the same way. Your biggest decision here will be what type of RCA cable to use. I prefer the twisted pair variety but any cable that is built well and rejects noise will be fine. Expect to pay $20+ for a good set of RCA cables.
A true high end system can usually be put together for an equipment cost of $2,000. Installation costs will vary depending on how much custom work you want done. For about $500 you should be able to get a good looking installation that will last as long as you have your vehicle. Of the $500, some should be apportioned for speaker dampening as this will reward you immensely