Projector, projector mount, screen, speakers, receiver, source components, good remote control, and all associated wiring.

One of the best things to start with is a budget and zero expectations for that budget.

A good mid-level theater runs about $10,000 installed.

A good entry level theater runs about $7000 or so installed.

Knock about $1,000-$2,000 off if you do the work yourself.

A cheap home theater can be done for under $2,000 and still be okay.

The one thing I will add to what Imjay said is that there are almost no 1080p projectors on the market which are under $2,000, so if your goal includes 1080p native products, you are typically spending at least $2,000, if not $3,000 right away.

Audio is going to match that relatively easily. Good audio for under $1,000 in my opinion is non-existent. AUDIO exists for less than $1,000 but a good tight subwoofer sound tends to cost about that much on its own. A good receiver with upconversion and multiple HDMI inputs, and HD audio support and good amplification and quality build is going to run $600 or more most often. And a good 7 speakers will run $1,000 or more rather easily.

A screen for the projector runs the gammut in pricing and can be done by yourself with some work for $100 or so. Work means hours of prepping, paintimg, maybe cutting some wood up, and getting the screen in place perfectly. A Carada screen will typically run a bit under $1,000. A good tab-tensioned screen will run upwards of that, often by a fair amount.

Finally, you need cables, projector mount, components (Blu-ray, cable/satellite), equipment stand, universal remote, etc. Which can run anywhere from very little to thousands of dollars, but we'll stick in the middle at $1,000.

Installation - If added, this is typically going to have wiring done inside of walls, to 7.1 audio locations and the projector. It takes two skilled workers about two days to install professionally. This means wall plates or in-wall speakers, minimal holes which require drywall patching, and configuration, calibration, testing, and training you on the system. About 32 hours - and at $60 an hour, it would be unreasonable to expect things to be less than that, it runs about $2,000 for installation.

So $3,000 projector + $3,000 sound + $1,000 screen + $1,000 cabling & components + $2,000 for installation, you are at $10,000 rather easily.

Yet, a cheap home theater in a box can be had for $500-$1,000 with all the speakers and even HD audio support. A pull down screen can be had for $100. A 720p projector can be found for under $800. A Blu-ray player can be had for under $200. Add some cheap cabling and do all the installing yourself and you are up and running with a decent sounding good image system in a few days worth of work for right around/under $2,000.