$1,000 to $4,000, that's a huge difference in range. If you have a room with the acoustics and isolation, you might as well just set your budget to $4,000 and go speakers. It's easier to find deals on them then on headphone setups, where the prices of components are pretty much fixed. These sales happen all the time, companies just wait for holidays.
Example:
Receiver is on sale for $380
http://www.newegg.com/Product/Product.aspx?nm_mc=AFC-SlickDeals&cm_mmc=AFC-SlickDeals-_-NA-_-NA-_-NA&Item=N82E16882115197
surround Speakers: $140-160 you'll need 4 of these
http://www.buy.com/prod/klipsch-reference-rf-10-floor-standing-speaker-2-way-cable-75w-rms/q/loc/111/listingid/81744675/208504067.html?adid=17992
http://www.newegg.com/Product/Product.aspx?nm_mc=AFC-SlickDeals&cm_mmc=AFC-SlickDeals-_-NA-_-NA-_-NA&Item=N82E16882290015
center speaker: $120
http://www.newegg.com/Product/Product.aspx?nm_mc=AFC-SlickDeals&cm_mmc=AFC-SlickDeals-_-NA-_-NA-_-NA&Item=N82E16882290023
subwoofer on sale for $270
http://www.newegg.com/Product/Product.aspx?nm_mc=AFC-SlickDeals&cm_mmc=AFC-SlickDeals-_-NA-_-NA-_-NA&Item=N82E16882780013
And that's just finding deals, bottom of the barrel, not color matching the components, wiring, etc. So, if your budget is less than $1,500, then get decent headphones, a good headphone amp, etc. If it's above $2,000 then get yourself speakers, that you can share with friends, guests, etc. As mentioned before, give a more realistic budget.