Ah yes. It is a destination for those with the resources to go out and buy the sound they like from dedicated audio stores. For the rest of us on a budget it is a road because usually there are audible improvements to be had everywhere in our systems for a few hundred dollars more in every department. Preamps, power amps, cables, and any sources you care to name. I don't think there is any one of us "budget" audiophiles (I use that loosely because we all spend more than we should) who hasn't heard marked improvements in each area but can't afford those upgrades.
This means we are not happy with the sound we have. It is also amazing to find out what a difference cables of all kinds make.
It's especially unnerving to find that even power cords make such differences. We are talking about people who spend a few hundred to a thousand dollars on components who cannot afford $500 for a power cord let alone enough for all the equipment.
For such people it does become a journey and a long one at that. Nonetheless if you embrace soldering and changing capacitors, wire and opamps you can achieve a great deal of improvements to your systems. Making your own power cords from you tube videos put out by the manufacturers of power cords also helps a great deal.
The best budget preamps are old counterpoints, classe, threshold, even anthem pre2l is a good preamp. Power amps are another matter. Old thresholds are good but must be pure class A. I found an old LLano hybrid that sounds very good but these are quite rare. Tube amps vary but EL34 based amps have little bass so kt66 or kt88 are better in the under $1000 department. Also don't expect lots of bass from a 40w tube amp and higher watt tube amps run above the $1000 mark to be sure.
The best combinations are tube pre and ss amps or SS pre and tube amps. These can all be tremendously benefited by changing internal wiring, capacitors and binding posts to better quality. For example if you see plastic binding posts on a power amp change them out to Cardas nude copper and you will be amazed. Likewise changing coupling caps on tube preamps also net amazing gains. Changing poor volume controls to alps is also a major improvement for most preamps. Changing internal input and output wiring to mundorf silver-gold or just plain silver wire helps incredibly at times. On interconnect wires you can try making your own but hookup wire just really doesn't cut it. You just have to buy and sell from audiogon to get interconnects that work well. Expect to spend $150-300 a pair for these. Source to pre and pre to amp of course are the most important. Pro silway ii work well as do used DH labs silver revelations. I was able to make a good IC from upocc wire but it only works well with overly bright equipment. I am a fan of synergistic research but these are generally just a bit out of price range. Still they are wonderful, especially the active looking glass or kaleidoscope models. It may help to re-terminate a number of these with a hot iron and cardas or wbt solder. Often with age the connections are not as good on used interconnects and this really helps sometimes. You need to get a cheap heat gun and some shrink wrap. It is easy to do. For sources let's just talk dac's at first. Computer based files are where everything is going but you still need a good dac. I find that many older dac's such as the adcom can be improved by replacing the ad711 op amps with modern lm49710 or others. this makes old DACs first rate. Even the cal sigma II can be a great dac with the right tube rolling. There are some good modern tube dac's for cheap and although I've not heard the channel island audio or music fidelity lines they seem to be a good place for reasonably priced dacs. A trick you might try is to use upocc interconnects from the dac to pre. These take away a lot of the harshness of the dac signal. If you get a tube preamp this will help also.
A cheap way to go computer is just use windows and a free music program like music bee and just burn all your discs to the computer. If you get a decent sound card with optical out you can send it to your favorite dac and you will find this to sound pretty darned good. Try a few different optical cables though. Even the polishing on the ends or the plastic vs glass fibers can have audible differences. I find optical is better than USB in my application. As an aside it is just another oddity that differences can be heard in USB cables as well. Although these are not as great as with interconnects they are there.
So, in the end if you are able to read a circuit diagram if you can get your hands on one you can change out capacitors, wire and op amps for cheap. This will net the "budget" audiophile the most gains possible and you will be very pleased even if you haven't reached audio nirvana.
Budget speakers are the most difficult to talk about as there really is no such thing. You can attempt to get older good speakers but they will never sound as good as the newer drivers and new speakers now available designed with thiel small parameters and better technology available today. You must diligently read reviews and of course hear before you buy. Expect to spend about $1500 for a good speaker either monitor or tower. Right now the LSA2 tower looks like it is a good value fore the money. Monitors however do not produce enough bass and I have not been able to really experiment enough but I have never heard good matching of subs and monitors that can be had for small sums of money.
That said, a good 23 liter enclosure can produce good bass. I made the madisound rediscovery with scan speak revelator woofer with a slightly different cabinet and the results were astounding done with silver wire to the tweeters and better capacitors and inductors than the kits. The cardas binding posts I added later made a large improvement in bass and detail.
In the end the budget audiophile can indeed find a good degree of audio nirvana but expect it to be a journey for a good long time before you will be satisfied with the sound of your system otherwise take $15K and go out and buy good sound. It can certainly be had for around that price. Who would not like to go in with $15,000 in hand to a nice high end audio store? Kid in a candy store? You bet!