How to Listen ??

One good thing to do is to spend a reasonable time listening to different types of equipment (tubes, cool and warm, vs solid state; speakers of different design principles(stats, horns, dynamics, planars, line arrays); and possibly "cheap vs expensive", before diving in. The purpose is to get a sense of the different presentations possible in audio. You can use all of your local audio shops for this - I personally figure every audio shop owes me an hour or two of free listening time, but I will not take a dealer's time beyond this if I'm not serious about buying from him.
Ken's description above is a good mental position to take, and keeps the process fun and enjoyable.
The ear-training that every audio-type develops amounts to learning to listen analytically to sound. It comes mainly from extensive, detailed A/B'ing and is equally a skill and a curse. After years of listening, I want musicality first but even when its there, my 20-20 ears keep complaining about trivia.

Some very good thoughts here,and here is my two cents. On your current system,or system that gets changed the least whatever, listen to a recording that not only you think is good, but that you think you know every note of. You know, the one you would have to have on an island by yourself.
Now, substitute a component and listen. If you hear differences, what are they? And if all of a sudden you going
"wow, I didn't know that was 2 guitars", or "Damn, she breathes awfully heavy" when your hearing these kinds of differences, its probably a better piece of gear,or a better system.
And live music, always. And again, make sure its something you know recording wise. Nothing beats live music as far as comparision, especially in an acoustic enviroment. If your a heavy metal or electronic music guy, a little tougher because a lot of what you are hearing is not generated acoustically, but electronically. But if you have a female vocalist you really like playing and acoustic set(Hearts last tour for example)if you listen, you will hear nuances in their voices that you will be able to pick up the next time you listen at home.
If you play yourself, it can be a lot harder. I live in Nashville, and some really great musicans here have sound systems that are lacking. I have learned a lot of musicians will hear exactly what they want to, because they have it embedded in their head that way, so definitely try to avoid listening to recordings of yourself when trying to judge a particular piece of gear.
Last point though, Spend more of your time listening and enjoying rather than listening and wondering. You will live longer, and save a ton of money.

i started into this trap 2 years ago. started by buying a new amp, and i was lost after that. hearing how changing different components affects the sound can get you going. for me, it's actually fun now. but the more you listen, the more you hear. you'll start to hear little hisses or hums, or maybe the bass won't sound as tight as you want it to. for example, after listening in my system for a few weeks even, i went to a friends house and heard the same recording on a very good system, but different from mine. the bass sounded washy, things were vibrating, the highs shrilled and made me cringe. i'm not a snob or anything, but even this pricey system just sounded different to me. i realized it's actually true, that even changing speaker position and yes, even changing interconnects and power cords can affect sound quality. true, many of these changes may be subtle, but if it's enough to let you enjoy your music or theatre more, then for me it's usually worth it. problem is, it can get very costly! i see audio a lot like wine - if you're happy with the cheap wine, and it tastes good to you, then drink it. but once you start drinking 1986 chateau haut brion or view telegraphe, you'll have trouble going back to the cheap stuff ever again. once you start listening to high end gear, it'll ruin you for the low fi forever... maybe that's for the best tho. good luck!

A lot of good advice here but just rememebr to trust your own ears. Get what ever you think sounds best. Dont get lost in the reveiws, gimics, specifications, opinions of others, or even the price tag. Also know that your opinion will probably change the more you listen. That growth is have the fun.

Like Bruce Lee said, "Don't think! Feeeel!"

Don't try to listen analytically, that's the job of reviewers. Just sit and enjoy.

Does the singer touch your heart? Does the saxophonist move your soul? Do you ever get transported to a far off place and forget that electromagnetic devices are sitting in front of you? That's the wonder of truly musical experience.

It's only when I'm startled back into reality by an offending sonic quality or unmoved by emotion that I think about the SOURCE of the sound.