So you're an audiophile? Welcome to the club that spends 10 times the price just for a 10% increase in quality. But in the end all of us know its worth it. Buying on ebay is actually easier to get specific equipment that is only sold outside your country or to buy a constructed DIY equipment. You could even buy DIY parts for a new amp or speakers! So, what do you watch out for when buying online?
Firstly, how much money are you willing to spend? Not all expensive audio equipment is good, and similarly not all cheap (well, slightly cheaper) equipment is bad. Headphones are the cheapest route into the high-end world, and there are quite a lot of options available. The forums at Head-fi and Headwize provides information about the different headphones available. Sennheiser HD-650 and Grado RS-1 are a few examples are very good headphones. Remember to buy an headphone amplifier and a decent source (Standalone CD Player, DAC, etc.) to fulfill your audio fantasies. Some examples here are Cambridge Azur 540c or Shanling T-80 for a CD Player and Meier Audio Corda Aria or Headroom Desktop Amp for headphone amplifiers. Good headphones can give a sound that may equal a speaker system worth many times its price and this is why it is the entry route to high-end audio. Mobile accessories are available but many of these are bad quality and not that mobile (e.g. heavy and very energy consuming). However examples for a good mobile system includes canalphones (such as the Etymotic or Ultimate Ear ones) and a small amp (like a Headroom miniamp) for your iPod.
Maybe you have some extra money lying around? Then you could go for the speaker route. There are two main types available, namely dynamic and electrostatic speakers. Dynamic speakers (like the Bowers & Wilkins Nautilus speakers) are cheaper and are more common but electrostatic speakers (the Quad ESL-989 being a good example) have an amazing sound. Remember to budget in the amp (two amps if buying monoamps) and cables (interconnects and speaker cables). Stereophile is a good place to look at reviews regarding audio products or you could try the ebay guide to speakers and in the end, buying off ebay is often cheaper than buying retail.
Many systems nowadays are surround systems, but the better systems available today are still stereo systems. Another thing to watch out is the brand name. While Bose, Sony, etc. make decent speakers, they are often priced far more than what you could pay for a much more amazing speaker system. Look around and while same may actually be far expensive, it is not without reason. The names in this industry include Dynaudio, Martin-Logan, Bowers & Wilkins, Quad and Wilson.
In the end, you just have to do a bit of research on the internet (e.g. valve vs. solid state, LP vs CD vs SACD) and beware of scams (ridiculously cheap prices for new items, feedback rating of 0 and oversea locations are often signs of scammers). Second hand items often seem cheap until you have to fix it. Old audio equipment parts are actually very hard to come by! One other thing to remember is to try and keep the equipment costs to less than what you paid for your music (CDs, etc.), otherwise happy listening!