Even though I don't live by it, I believe a stereo should be built from the beginning to the end or stylus to speaker in the order of their function. I consider their importance in this same order but with very little diminish as to importance. All the components are important to build a good sounding system. And you have to do this within your means.
So, I consider the most important part the source, whether CD, vinyl or whatever. Good recordings sound better than bad ones and you have to listen to know. Some artists are known for producing better recordings.
Next, get the best CD player or Turntable that you can afford. If buying a turntable, buy the best cartridge that you can afford for it. This makes a world of difference. You can check reviews to see what people say about what you are interested in.
Next is your preamp, tube or ss? Make your own mind up, listen to both. There are excellent preamps made both ways. If you are using a turntable, you may want to use a phono preamp and will most likely need one if you chose a MC cartridge. Specs are helpful but not everything, I like the lowest distortion rating that I can find. Some preamps have amazing sound in spite of poor distortion specs especially with tubes but listen and decide for yourself.
The Amp should be very distortion free also and I like lots of power so I like Mono blocks or two stereo amps bridged mono. Two amps just make stereo better. I prefer to have as much power as my speakers can handle and I go for the lowest distortion specs. As with the preamp, there are some great sounding power amps with poor distortion specs. Just another that you have to let your ears decide.
Lastly the speakers, although very important, if you have followed all the previous steps, you will be able to make most speakers sound the best that they can and better than most people would think. Many consider the speaker to be the most important component but I do not. I'm not saying you can buy junk and be happy but I still consider it the least important of the main components.
I have omitted the cables and speaker wire as I consider it to be less important than all of the other components. After all, it is just wire. I can sense alot of toes curling here. Don't buy junk interconnects or junk speaker wire (K Mart or Radio Shack probably won't have any good wire) but don't make it the most expensive component in your system either. The good stuff will make a difference and in some cases, a dramatic one but none will make a bigger difference than the wrong amp, preamp or any other major component.
I also never mentioned a receiver or integrated amp. There might be some good ones but you cannot beat separates, I don't care what anybody says.
Take your time, enjoy what you buy or get rid of it. A good stereo will bring many years of enjoyment, a bad one will be ignored.
Bill P