Sound Blaster Audigy 4 with Daniel_K's drivers. I loved the features (EAX settings, equalizer, etc.) on XP, but sadly they don't work on Vista due to the audio stack being in user mode
1 set of harman/kardon speakers + 1 set of MLI 699's + MidiLand MLI-450 subwoofer in a 4.1-channel configuration. Vista's speaker fill sounded like utter crap for some reason (random electronic noise in the rear speakers), and Daniel_K's drivers made a whole world of difference.
I paid a total of $1 for the sub at a garage sale -- the other 2 sets I got for free. They don't sound half bad, but they're not even close to audiophile quality. I'm a poor student and cannot afford to get a real system just yet.
Sansa e250 (2GB internal + 2GB microSD card) with Rockbox. I really love Rockbox's 5-band parametric equalizer and separate bass/treble controls.
Philips $15 "virtual surround" in-ear phones. They have a fairly good frequency range, albeit they need help; with some EQ/bass/treble adjustments, I get excellent bass.