IMO, auditioning speakers really should be your first step. As sirroundsound said, performance may be miles apart between the Klipsch and B&W speakers. The speakers are really the most important element in defining the sound you hear. Everything else is about getting the cleanest signal possible to the speakers so they can do their job.
When you audition, do so with stereo music. Surround is too complex with too many variables involved. If you find 2 speakers you like, you can expect a matching sound from matching speakers.
The most important criteria in listening material is "music you like." As an engineer, this was something very hard for me to accept (well, what KIND of music? I like lots of different stuff!), but the more listening I've done the more I've found that advice to hold true. The best way to go about a speaker purchase, IMO, is to make an emotional decision: you don't want gear with the best specs and most sophisticated electronics/shielding/etc.--you want speakers that elicit the greatest emotional response from you (while balancing the negative emotional response that spending too much will ultimately bring). So bring a few "trapped on a desert island" tracks with you.
After doing a lot of listening, I did find that some material is better for auditioning than other stuff. First, any singers you find to have interesting voices are good. The human voice is a highly complex instrument, and you'll find it easier to discern differences in speaker clarity & resolution by listening to familiar singers. Second, anything recorded live is good. Most studio music is heavily processed and/or compressed, which can make it sound decent on a huge variety of speakers, but you lose some of the detail in the process. Live music tends to retain more of that lost detail and might help you discern speaker coloration you don't like. Finally, any "natural" instruments (i.e., non-synthesized stuff like pianos, strings, horns, etc.) will have a richer sound than digital electronic music. Again, it has to do with detail that has been removed.
Anyway, don't get too caught up in names or where to shop. In the end it's pretty true that you get what you pay for, so at the same price point you should expect comparable quality. The one caveat I should add, though, is that if you find you like the B&W sound better you may be tempted to upsell yourself to something that's not "entry level." That's what I ended up doing, and while it meant re-evaluating my life's priorities and spending a LOT more than I originally intended, I LOVE my speakers.