Well, I've been mucking about with car audio since decks were cassette with twin shaft!
So, when you are looking for an upgrade to your factory units, try to find a head unit that has the features you want, these days almost everything has cd/mp3, aux (audio plug) in and USB plug in.
Since I use amps for all my speakers, I want to use pre-amp outs instead of the speaker outs on a deck.
So I found a unit that has at least 4 ch RCA outs (Front and Rears) getting a deck with 6 ch RCAs would be sweet (Front, Rear and Sub).
Selection of an amplifier isn't too hard, but DON'T GO CRAZY with the power.
The MOST you'll need in any vehicle is 100W MAX / channel, beyond that and you won't hear much of an improvement and you'll damage your hearing.
OK, for the Subs, you'll want maybe 300-500W MAX.
When choosing speakers, you want speakers able to handle at least 20% higher power than you amp can supply, so if your amp can supply 100w Max, you want speakers that can handle at least 120w Max, that way you won't damage your speakers by over powering them.
Try to buy name brand components as there are brands at flea markets that are showy, but will not give the proper clarity to your sound. It's like driving a yugo or a porsche, each will get you around, but which is the better made car?
I'm also not saying to buy the most expensive, as you will overkill your system.
Your local audio store (try to find a car audio place - not just the auto section at wally world [Wal-Mart]) should have decks setup to listen to, but you also have to remember that they are setup in a large volume space, and your truck/car is a small volume space, so they may sound different in your vehicle, but you will hear small differences between decks and speaker setups.
So first thing is to select a good mid-range speaker (usually a 6x9 gives good all around sound) then try all the decks with the same speakers (maybe take your favorite cd in to use to listen), then once you find a deck that sounds good, start trying different brands of speakers in the size you need (6x8 for us) but those are usually special orders, so go with the 6x9s, and find a manufacturer that you like, then get the right size in that one.
I know it will take some time, but you will be much more satisfied with your setup than if you just mish-mashed a set together.
My last stereo (The one I'll be installing into my truck):
Head Unit: Sony GT-51W
Main Amp: Sony XM-4045 (4ch 45w RMS/ch)
Sub Amp: Sony XM-10020 (2ch 100w RMS/ch)
My last speakers (which I will be changing for this setup):
Front: 5 1/4" Rockford Fosgate Punch (50w RMS)
Rear: 6 1/2" Sony X-Plod (60w RMS)
Sub: 10" Rockford Fosgate Punch (150w RMS)
For this setup, I want to use 4 6x8 Rockford Fosgate Punch + the 10" Sub