How to Listen ??

...it'll come step by step. The best is to buy something that you won't feel negative for a certain period of time before you'll realize you need to upgrade. Meaning If you go for the very basic lo to mid-end you might very soon want to upgrade it.
First thing for me was details and clean sond(Creek 4330R)then I felt that dynamics were not as good as you would expect from fusion jazz or jazz-rock. It has guts to push the driver but doesn't have guts to stop it. Drum sounded longer than it had to sound as well as base -- totally uncontrolled.
Second thing was Bryston 3b-st Well detailed, dynamic, a great driver, but no warmth in mid-range and highs are rather harsh than detailed.
Third thing selling Bryston to get TUBES preferably with "balls".

The Chesky label makes a very useful compilation/demo disc that is useful for highlighting many of the sonic attributes of audio reproduction. I suggest you spend some time with a good dealer who can demonstrate a number of systems and point out their strenghts and weaknesses.

Go buy yourself a season pass to a symphony in your area.. listen carefully to what "real" instruments sound like.. woodwinds, brass, massed strings, etc. remember that, then go listen at a shop and see if it sounds "real" ... as opposed to "tissy", bright, boomy or otherwise different from reality.

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.