how much would you say a good set up cost

I think it depends on what goal you are trying to accomplish is and the size of your listening room;such as being able to reproduce eric clapton laying down some tracks in the recording studio or a live presentation of a full philharmonic orchestra; 2 very different goals in which the equipment and cost of will very greatly in my opinion.

I guess you could look at it as therapy for what ails you.

For those that need a hand, check this out... Seems to have a lot of the info disputed, and might get you where you need to go with your systems.
http://www.getbettersound.com/toc.html

$ spent on speakers will have the greatest effect on how your system sounds. I'd invest in the best speakers I could afford. If your budget is, say, 2k, (and that's an enormous amount to spend, I realize, for most folks) I'd put at least 1200 into 2nd hand speakers, and then find a good, well-built, ss amp to drive them: $400-600 on a 2k budget. 2nd hand is okay here too, but keep in mind that capacitors will have about a 20 to 30-year lifespan. Once you get up to a certain price point on a cd-player, it's diminishing returns, so I'd get something that's reliable and solid with the rest of your cash.

$ spent on speakers will have the greatest effect on how your system sounds.

That's bound to open up a whole other rats nest of opinions. You can do a search on "hierarchy", "budget", or similar verbiage, and you'll come up with quite a few threads on that subject, and a ton of various opinions on exactly how to spend your money once a budget is established. FWIW, the best investment and most profound improvement I've had with any component has been a recent upgrade to my front end. Not to downplay the importance of good speakers. I'd add a bit to your statement about diminishing returns: That is not just limited to CD players - it applies to varying degrees with all components, wires, and tweaks and will vary quite widely from person to person as to where that threshold occurs.