A good approach to this is to ask yourself some questions:
What does my system sound like?
What do I like about the sound?
What bothers me about the sound?
You need to know what your goals are with your stereo system. It takes time, trial and error, and experience with different systems to figure this out, but it's the only way to upgrade sensibly.
Recordings recommended by people on the web, audio reviewers, and friends can also help get an objective handle on what your system sounds like. These especially help if you have others' descriptions of these recordings sonic qualities to calibrate both your own experience & descriptions and your system's ability to replicate these qualities. I don't know enough about CDs to recommend anything here, but I assume there are such lists available online.
Another useful tool is other people's descriptions of components in reviews and discussions. Certain products and product lines have consistent qualities and reputations. Use these to figure out how to change your system's 'negative' qualities--the answer to the third question above.
These are generic suggestions, so please forgive if I'm being too basic, but I think finding a clear and coherent set of audio goals--and figuring out how to achieve them--is a huge hurdle in this hobby. After that, reading reviews and making upgrade decisions gets much easier.
Good luck!
