Go have a look around on Crutchfield's site. They offer a fair amount of gear and have good buying guides. You sound like you're new to this, so, if you don't just go Sonos, look at the Crutchfield buying guides to get an idea what you're getting into. If you do go components, I recommend a decent A/V receiver (Denon, Onkyo, NAD) and a Blu ray player (it'll also play CDs). The Blu ray player should support at least 4k video. It doesn't need to be top-of-the-line though. The A/V receiver will do the important digital-to-analog conversion step for your music CDs.
As for speakers, you have to go listen to some to see what kind of sound you like. Bring a CD of your own that you know really well and has a wide range of audio on it. I like something with some piano passages and/or acoustic guitar and clear vocals that aren't buried in the mix. Then, A-B compare two sets of speakers at a time. Most of the staff in the Magnolia section of your local Best Buy will let you do this. If you've picked your receiver already, tell the salesperson so you can use something similar for your speaker auditions. Be sure to move around the room to see how the speakers reproduce stereo/surround in different spots. They'll all do well when you're midway between them. Speakers have different levels of efficiency in turning electrical signals into sound. Be careful not to just pick the ones that are louder. But, if you like loud and aren't spending pretty big on the receiver (>$1k), more efficient (louder) may be important.
Spend about 10% of your budget on the Blu ray player, 30-35% on the receiver, and 55-60% on the speakers. If you're buying speakers (and subwoofer) for a 5.1 setup, the split is more like 5%/20%/75%. Good luck and have fun!
