Ok this will be a good thread.

A vote for speakers and this is based on my experience of change. Every change in the system has an effect, but the biggest change and or improvement is the speakers. So this is my order of declining significance, which is not to say items on the bottom do'nt play a big part.
Speakers.
Amp
Turntable/tonearm/cartridge
Phono stage
Tuner
CD player
Interconnects
Stands and tweaks
Power conditioning
power cables
Just what I have found, but in there are some dramatic changes from small things. Two examples and strong recommendations, Walker Audio HDL links, Marigo stealth Signature mat.
Some of the reason for the items lower in the list, is, I believe, because of a general rise in quality and performance convergence. IN particular, CD players, it is far harder to find really bad players now. Even the cheapest give a creditable performance. At the top, there are so many conflicting choices and compromises in making a good transducer, sound varies enormously and not related to cost. Having just installed Acoustic Zen Adagio's, I can't think of any item that has improved/changed the sound of my system by so much

I would maintain that speakers are the weakest link, and until some one can make a point source that can reach peaks of 100 db from 20-20K, this is unlike to much improve. Basically, you have to chose your poison. When and if you ever find a speaker capable of reproducing a 1000 Hz square wave capable of such levels, you will be able to move on with confidence. Apparently the LSA Model 10s can do this for a mere $60k!! Start saving now.

Speakers.

I say the room itself is the most under-rated component. If you've ever stepped into a recording studio while listening to a live session, you'd know. No piece of equipment can reproduce the acoustic space, unless, of course- the room is the right shape, dimension, and provides proper sound treatment. Reflections, speaker distances, diffusion and refraction all come into play. A weak amplifier and efficient (and ruler flat frequency response) speakers, with a good front end can produce uncanny realism, dynamic impact and "in your face" soundstage in the right room.