I decided to start putting together a HT after moving into a new house this winter that allows for it. My basement is one large room (15' x 60') that someday will be turned into my HT/man cave/bar, but for now my wife stays at home with kids and runs an in home daycare. This kind of limits how much HT I can do now as well as budget is the main factor of upgrades.
I was planning on getting a 1080P pj that supported 3D but budget and the CEO (wife) made me reconsider, so I went with the Acer H5360 ($400 Newegg special). I am very impressed with the projector so far and have it setup in the basement, as well as doing an outdoor movie for the kids I decided to go the DIY route on the pj screen, since so many people on the forums recommend this. I was able to get clearance boc from Carl's Place (his ebay store) for $15 and this has really worked out great.
Right now for AVR, I am using an old Panasonic 5.1 HTIB that I have had for 5 year. One of my first upgrades will be to get a new Onkyo 7.2 AVR and good speakers. Other sources include PS3 and DirectTv. I also plan on building a HTPC in the near future as this is my specialty.