If I had $10,000 to spend on a home theatre, I'd probably allocate it something like this:
$3,000 for the display. You can get a nice 1080p projector, such as the Panasonic AE4000, for about $2000, plus a screen from Carada (varies, about $1000 for a 140-inch 16:9 screen). Or you can get a nice LED/LCD or plasma panel in the 55"-65" range, depending on which display technology you want to go for.
But which one? Having had some experience, I'd say this depends on the ambient light. If you can swing it, go for a projector -- it's a much cooler experience in every way, except if you need to be able to view things in other than 90-100% darkness. I currently have a projector set up in my living room, which is great for movies -- if I watch at night with the lights off. Right now, in the summer months, it's pretty useless before about 8pm unless I get some really dark curtains for the windows. I think my strategy will be to replace this with a nice wall-mounted LED TV instead, and move the projector to another room.
$1,000 for the receiver. The receiver is the heart of the home theatre system, so get a good one. Get a nice 7.1 channel unit with plenty of inputs, HDMI upconversion and upscaling to 1080p, maybe even built-in iPod interface or DLNA media streaming.
$2000-3000 for the speakers. Here's where preferences diverge greatly -- and it also depends on the size of the room. You could spend as little as $200 for a decent set of speakers for a small room (say, the Polk RM75 set, which is what I currently have in my modest setup), and the sky's the limit from there. A big room is going to need big speakers, possibly dedicated amps to drive them. You also want a good quality sub suited to the room.
$200-500 for the cables. HDMI cables wherever possible, good quality speaker wire. Home theatres tend to put emphasis on aesthetics which tends to mean longer cables are needed to run around the room. I tend to buy cables from Monoprice.com. There are better cables out there, but don't fall for the overpriced Monster stuff.
The rest -- whatever is left over -- on accessories. A rack or panel to keep all the equipment. A nice touchscreen remote to control the entire system. Comfortable home theatre seating. Velvet curtains surrounding the front wall, and a paint job on the room to match. A theatre popcorn machine (such as the Gold Medal 4 oz Funpop -- which I actually do own) in the back corner. Potlights in the room, controlled by X10 or Insteon or some other programmable technology. Accent lights on the walls. Movie posters in frames. Acoustic treatment (Quietrock? Green Glue?) on the walls. Maybe a SONOS or Squeezebox setup to integrate the theatre with the rest of the house.
Edit: Ack! I forgot the actual playback stuff! I'd budget $500-1000 for playback equipment. You could buy a PS3, or setup a good HTPC, or a high quality Blu-Ray player. Or all of the above! Lots of choices, and this is an interesting space to watch as more and more hardware devices also work with your downloaded media and internet content. Apple TV is one example of this, also WD TV Live, Asus O!Play, Boxee, and similar boxes.
