Cheap receiver + amp vs Expensive receiver

obviously, your question is not suceptible to pithy absolutes and its answer is dependent on the details. a top flight avr like b&k or sunfire will undoubtedly sound better than a garden variety mass-market avr augmented with a garden variety power amp. however, if you're comparing products within the same price range, i believe you're better served with separates since, among other reasons, the inboard amps in most avrs are generally wussy and underpowered and cost-cutting and engineering compromises are inevitable in the process of sticking everything in one box.

To keep it simple: A $400 receiver with a sunfire amp will not be anywhere nearly as good as a sunfire pre/pro with the same amp. Better DAC's, better video processing, better crossover systems, better binding posts, bigger power supply, nicer remote and so on...
Do you have anything right now? If yes, what? If no, ask where to begin and on what budget.

Think about this: whenever you've purchased something/anything, how many times have you said to yourself "I wish I had spent a little more for better quality"?
Then think about how many times you've said "I wish I had bought the cheaper lower quality model instead"?

The bitterness of a poor quality purchase remains long after the satisfaction of low price has been forgotten.
You get what you pay for.