This is a massively open ended question.....
I used to sell home theatre awhile stuff awhile ago, not 'home theatre in a box' type stuff, but the full custom installs.
If you go with a projector;
- make sure you have a room for it, it's going to be useless with any sort of light
- you need a screen. Cheap screens are well...shit...one of the best (and definitely most cost effective) methods is paint designed for projection. A variation of silver will give better contrast
- you will need speakers (if you don't have any already)
- make sure its an inorganic LCD panel, or you'll wear out filters after awhile, usually the blue filter
- have a look at some DLP and LCD projectors; some people see rainbows with DLP while LCD typically have poor contrast levels and you can get the screen door effect at longer distances. The only projectors I ever liked were LCoS systems and only Sony and JVC do them, but prepare to spend big to get an LCoS.