What should be the first component when upgrading?

I currently have this terrible system:

-Infinity SM 62 Bookshelves (on stands)
-Sherwood RX-4105 Receiver
-Source is Apple Powerbook (iTunes) or iPod

This summer I bought Grados SR80 headphones and they simply BLEW my mind. I heard things in my music which I've NEVER heard before (and this is with MP3's!). I listened to practically every song over again because of this increased resolution.

So naturally I wish to upgrade my above system. I've been researching the last few months and have come up with a couple of options:

-Epos ELS-3/Wharfedale Diamond 9.1/PSB Image B25 speakers
-Cambridge Audio 540a v2.0/NAD C320BEE/used Marantz/etc. integrated
-Hsu research VTF-2/STF-1/STF-2
-Standalone CD player (cambridge audio 540c?)/NAD ...

I just found a VTF-2 on here for 275 which seems like an awesome deal. Just wondering which component you guys would replace and in what order?

I was thinking of getting the sub first because I could use it with my existing system and then upgrade the other components in this order (integrated amp, speakers, cd player) ....

But after reading some more on the forums, maybe I should keep my existing system and upgrade the cd player first (garbage in= garbage out) ...

Or maybe I should get the integrated amp first?

Seriously seeking guidance in building this budget system as this will be my fisrt foray into budget hi-fi .... what would you guys do??