IMO, picking your speakers is the most important step. If you have a local car audio shop, chances are they have a wall with most of what they carry installed so you can audition them. Listen to them all, even if they're out of your price range, so you can learn what sounds you like and what you don't. It's not a bad idea to take your own CD so you can hear how they sound with your music. Once you know the sound you like, you can either pick a set you liked at the shop or search the interwebz for something that would suit you better.
Pay attention to the tweeter material between sets you like and those you don't, because it's one of the bigger factors. Soft tweeters (like silk) generally aren't nearly as harsh sounding as metal tweeters (like titanium).
MODS: PW TMIC, Cobb catted DP, HKS cat-back, AVO filter, Bren e-tune; Konis/Epics, Advan RCII