I would highly recommend building the Gainclone amp. If you have no basic knowledge of electronics, find someone that can help you in your area. This will get you a killer sounding integrated for less than $135 (45 for the gainclone kit, around $65 for the transformer, and $35 for case, volume pot, wires, and connectors)
For a CDplayer, I recommend the ES line of sony SACD players. You can pick up a used 222 or 333 ES SACD changer on ebay for less than $200. Awesome sound. http://cgi.ebay.com/ws/eBayISAPI.dll...724769129&rd=1
For speakers, I really like the Tannoy Mercury bookshelves, and the larger Paradigm's. You'll have to listen for yourself. The amp and cdplayer are both economical, leaving you with the most money to put into your speakers. You will however need fairly efficient speakers for the Gainclone.