I recently built a second system which I enjoy very much. If you find Thiels to be annoying at the high end, this kind of system cures that because it is a bit rolled off (I'll be working to fix that over the next several months on my system after I do some other stuff). I think it is fabulous bang for buck.
Speakers - I bought Altec Model 19s for $1200 delivered a few hundred miles away. Love'em.
Integrated Amp - I use an EAR 859 (bot mine for ~$1600). Several nice tube integrated available on Audiogon at $1000-1500.
CDP - I use a Sony SCD 777ES (<$1k used).
Cables - I use some old stuff lying around for cheap but expect to make my own soon.
If I were to build a system from scratch, using the top end of your range, it would be Altec Model 19s (~$1k+), a Jadis Orchestra Reference integrated ($1800?), a DIY TwistedPearAudio Buffalo DAC - probably $700-750 including custom-self-designed enclosure from www.frontpanelexpress.com (the next time TPA gets stock in on the Buffalo)). That would get me to $3500. I would spend $200 on used Anti-cables/Anti-ICs, $50 on materials for some DIY bass traps, and then the remainder on a used Mac Mini, an external HDD, USB cable, and an Apple TV. That should all be doable for under $4500. I expect you could play DVDs on the MacMini. If you really wanted a one-box universal player, you could exchange the DAC+PC for a modded Denon 3910 or 5900, which used would probably run you $1200-1400 (leaving you enough for the cables/traps).
Separately, if you are a DIYer or want to work on something over several weekends, you could do worse than Bottlehead or Hagerman kits with some highly efficient speakers. A pair of monoblocks and a pre will get you to $2k plus your time, and a USB DAC (Hagerman has one already, Bottlehead will have a DAC in a few/several? months, or use a Benchmark or a one-box universal), plus some DIY cables or anti-cables still gets in at ~$4500.