Buy speakers. One of the most important aspects of the home theater system is your speakers. Take a look around your room and see what size would suit you. For smaller rooms, obviously smaller speakers are going to be required. The larger the room the more leeway you have with the size of the speakers. Remember -- you want your home theater to sound natural, not overpowering. All of your speakers should be of the same brand.
Buy a stereo receiver. This is the epicenter of any home theater system, as it controls both audio and video information. Consider the size of your room before purchase -- for larger rooms, a receiver that can decode 7.1 channels of audio would be ideal. For smaller rooms this would be overkill, so a 5.1 channel receiver will be more than enough. This does not necessarily have to be the same brand as your speakers, sub woofer, or television.
Buy a sub woofer. This is the final component on the audio side of your home theater. A sub woofer controls the extremely low level sounds when watching movies or listening to CDs, and will make things like explosions seem louder and more real.
Buy a television. This is the last piece before your home theater system is complete, and it is the one the entire setup hangs around. Research LCD versus Plasma TVs, different brands and different sizes. Take measurements of the wall your TV will go on and let that influence what size you get. Getting a massive television doesn't matter -- getting one that fits perfectly inside your room is the key.