Here are a few friendly suggestions:
1. Don't buy anything at Best Buy or Circuit City. Awful doesnt even begin to describe their installs.
2. Avoid bargan basement amps that have specs that seem too-good-to-be-true. They are. Many amps will have unrealistic wattage numbers, and will basically be distortion machines.
3 For online, I'd recommend woofersetc.com, but they do sell products that won't come with a warranty from the product company, since many car audio companies only provide warranties through 'authorized dealerships'. (many opinions here; buy from ad and get warranty or skip and get much cheaper price; decide for yourself)
I used to recommend Tweeter, but they went bankrupt, so look for a small local specialty shop for installing. It wont be cheap, but they also won't destroy your car the way Circuit City/Best Buy will do.
If I were you, I'd keep it simple and get JL Audio amps, subs and speakers. There are much more exotic options, but JL is widely respected/supported, and you can find stuff online easily. Their amps are particularly nice; they have "R.I.P.S." technology, and basically the wattage stays consistent, even when the battery/alternator are under load or you are idle at a traffic stop. Most other amps will dip severely in those situations. JL amps can take a beating and keep coming back for more.
For head unit (cd player) I'd recommend an Alpine. Pay close attention to the RMS and voltage output. Some Alpines have one or two more volts than competitor HUs and that is a good thing. I know the OLD Eclipse brand had great head units. The new stuff is not made to the same quality, or so I've been told.
Of course if you have obsecene money to burn, get McIntosh everything
Lastly, for subwoofers (stick with JL) bigger does not always equal better, despite what all the 17 year olds tell you. If you listen to nothing but hip hop, then get a 15 inch, and hearing protection and call it a day. If you care about sound quality and listen to a variety of genres, I'd go with one or two 10" subs. As a general rule, the smaller the sub, the faster, cleaner, tighter and accurate the bass will be. Large subs are what you hear in traffic from a mile away, but in the car, chances are you will come to love the bass offered by smaller subs. Much more listenable in the long run.
If you're like me, you will find yourself gradually relying on the subs less, and will be more concerned over tonal balance than pure bass quantity over time.