Start by educating your sense of hearing. Music appreciation classes are a good place to begin. Listen to unamplified music in places with good acoustics. Get your hearing checked. No point in spending gobs of money if you can't hear.
Set a budget. Good systems that serve medium sized rooms can be had for $1000 retail, but won't go super loud or deep. Avoid DIY that leads to proud papa bias which all audiophiles are guilty of anyway.
Setup your listening space. As I mentioned above the room shouldn't be squarish, small, or uninsulated. Ideally it will be dedicated to listening. My room is 8ft x 13ft x 21ft and well insulated. It has a fiberglass exterior door with weather seal and flexible ductwork (can't hear the furnace). It is treated with ten GIK 244 2ft x 4ft absorption panels plus three side wall tall bookcases (diffusors) that I can vary the "design" to suit.
Spend considerable time auditioning (months/years). In many cases this would involve traveling, make a vacation out of it. Bring 10 or more varied selections of what you love, including an audiophile guilty pleasure (poor recording) as the system needs to serve your desires. Take written notes. Only audition in a space that's similar to your room, not an open/noisy space. Audition complete systems. Insist on in-home trials.
All sensible.
I would add establishing a relationship with a local dealer if you possibly can. Like JLM said, bring your own music and try to play it on equipment that is (or is at least as close as possible to) what you would be interested in purchasing. Hearing something on the dealer's $300,000 rig wouldn't give you any idea of how it might sound on a system with your budget in mind.
JLM beat me to it - the traveling part. Nothing can substitute for hearing the product itself, even if it means traveling if there is no dealer around you. Hearing it in your own space is the real test, so find brands that allow in-home auditions.
One mistake that I have made more than once is looking for the "giant-killer". Over the years, my strategy has evolved to what I consider a more "value-oriented" one. If you are more focused on saving money than on acquiring great sound, you may live to regret it (moving up a level or two in a year or two and realizing that you should have saved for the better level in the first place, or feeling that you are "settling" and not enjoying).
Take reviews with a grain of salt. But like food, wine, art, etc. - if you can identify a reviewer or two whose preferences in sound reproduction seem to align with yours, their reviews will make more sense to you. The only way to identify these reviewers is to read and watch as many reviews as you can.
Buying used is a great way to mitigate possible losses, but it also carries the obvious risks. "Manufacturer refurbished" that carries a warranty is a pretty safe way to go.
