First of all separates are always a must and no all-in-one can match a good separates set up. A good, sturdy stand to prevent vibration is important too. It's also good if you can listen to the components connected together as, e.g. connected through other amps a CD player could sound different and listen with the sort of music you listen to (MK/DS of course). They may try to get you to buy some interconnects in the shop and some magazines recommend gold plated ones but personally I'd leave it.
The bottom fell out of the hi-fi market years ago and now the top end stuff is really expensive and the cheaper stuff is rubbish! As Guitarman said the best stuff is on the secondhand market and it's really cheap too.
My modest system which is many years old now but I bought them new so it shows how long I've had it and therefore how well I rate them is:
CD player: Sony XA20ES
Pre-amp: Technics SU-C800M2
Power Amp: Technics A900S MK2
Mini Disc: Sony JA20ES
Tape deck: Technics RSAZ7
On a Stands Unique stand. Also have a turntable but that's packed away as I never use it and I don't recall the model number. This set up has served me well through B&W DM801 speakers set on sand filled stands.
Sony ES equipment is all of a very good standard and I'm particularly fond of my CD player. Wouldn't swap it for anything.
Seems they're still quite sought after:
http://www.ebay.co.uk/itm/SONY-XA-20-ES-REFERENCE-CD-PLAYER-with-PUCK-/231267518451?pt=US_CD_Players_Recorders&hash=item35d89e47f3Funny how the seller calls my amp "retro":
http://www.ebay.co.uk/itm/TECHNICS-SE-A900SM2-Power-Amplifier-Matching-SU-C800UM2-PreAmp-Controller-/321440558848?pt=UK_AudioTVElectronics_HomeAudioHiFi_Amplifiers&hash=item4ad759af00WOW! I'm sure I only paid