There certainly is a law of diminishing returns. I think that for $800-1.5K you can get a great pair of speakers.
I have a pair of Dana 930s (fairly obscure but great sounding). These guys make some solid speakers:
Audiophile Loudspeakers and Subwoofers for Home Theater and Music - Ascend Acoustics, renowned speakers,subs,audio
Speakers are *highly* individual though, and they can sound very different.
I had good service from these guys:
Audio Advisor
I like the Cambridge Audio receivers, as well as NAD.