Lawrence I think you are absolutely right to ask this question - I was thinking of posting a similar query myself.
I'm constantly amazed at the number of people who spend truck loads of money on CD's, records etc and then listen to their prized music collection on a piece of junk midi system.
A lot of people have never experienced a proper "separates" based Hi-Fi system. With a decent system listening to a New Order album is like actually being in the studio with the band. You can tell Hooky's on the right, Barney on the left etc - close your eyes and you're there ! As for the piece of shit systems most people have - you may as well be sitting in a car driving past the studio at 60mph !!
Hi-Fi is a great a hobby as it gets you closer to the music you love. Also before anyone says Hi-Fi is too expensive I buy all my gear second hand - there's some great bargains out there. For example in my current setup Marantz 63 Ki Signature Mk.2 CD Player (price originally new £500, mine was second hand in mint condition for £100).
Cheap mods can bring huge benefits - want to hear Hooky's bass ? Get some speaker stands and fill them with sand and stick the speakers to them using Blu-Tak. Want to hear Steve's hi-hats ? Biwire your speakers with normal electrical solid core cable running to the tweeters. I could go on - this may sound boring - but I can tell that the effect on the music IS NOT.
Get down to your local second hand Hi-Fi dealer - you know it makes sense !