Well, generally speaking - speakers use more actual material costs in their make up than a CD player would, so the more you spend the more you should get for your money (quality-wise as well as quantity-wise). Whereas the difference in say, a £400 CD player and a £1400 one will be far closer, most likely more down to case-work that any drastic differences in its make up. Sound quality can be as much down to component choice and taste of the designer than cost of parts - many of the "budget" CD players out there are very well designed pieces of kit so the argument to spend more (without going very high-end) is less obvious than say going from a vinyl-wrapped chip-board speaker with paper drivers to a real wood veneered, MDF cabinet speaker with kevlar/alloy drivers. The cabinet and drivers having a more profound effect on sound quality than the casework on a CD player, the visual impact of the speakers on your living room also being more obvious so better finishing IS a factor!
There are always exceptions to every rule but by-and-large there are, for example, only a couple of CD transport suppliers around, most will use these same components regardless of price. Many arguments can be made against this and there are always other factors - smaller, low-volume companies will have to sell units at a higher price to recoup R&D costs as well as their lower initial buy-in volumes but they may make a sound that you prefer! The argument to spend most on source made more sense when turntables were the primary source of choice - their mechanical nature (rather than electronic) meant better build and materials had a drastic impact on the sound. This is not to say turntables are still not the primary source for many!!
Amplifiers should offer good, clean, undistorted power at your preferred listening levels in your room - speaker sensitivity and size of room will be important in this too. Another (slightly controversial!) point about amps is that you should, in most cases go for as powerful as you can afford, power costs money so therefore you should allocate a good chunk of budget to the amp. Bare figures don't always tell you everything either - much like horsepower/torque in a car - and amp may be rated at "200 watts" but have a weedy amount of current delivery, falling apart driving anything but headphones... At the same time you can have a fairly low wattage rated amp with a very good power supply (a'la Naim) which will be comfortable driving fridge-sized speakers with 15" drive units. Character of sound is an important factor but then good amps, in theory shouldn't really have a character of their own!! (in reality very few manage this of course!).
So this is all just my opinion based on my experience, generally I'd split the budget in favour of amp/speakers over CD, but then there may be a special model you just have to have... Others will disagree entirely, that's the beauty of working in a subjective industry where your own ears/opinions are going to differ wildy from the next guy's!ÿ