Okay, my current dorm room audio setup:
Terratec EWX24/96 pro audio soundcard ->
Headsave Classic headphone amp ->
Sennheiser HD580 headphones / shure E3c IEM's / altec lansing ATP3 speakers
I've also tried a set of Logitech 560's, a few different high end headphones (Sony CD1700, ety ER4S, Grado 225's, Beyer DT770/250) and I like the setup I'm at now.
I also have a Sonic-impact T-amp, and while it's small and fun, it's not powerful enough to drive most speakers well (you need 90+ sensitivity to keep the amp from clipping) and the amp has poor peripheral gear (binding clips, potentiometer). It will not sound as good as your senns or your sony's unless you're willing to rip it apart and put in a decent set of input jacks, binding posts, and remove or replace the pot.
For speakers, I'd suggest cruising thrift stores and garage sales looking for a vintage amplifier (Marantz made some legendary quality recievers and integrated amps that can pop up for cheap), and then spending as much as you have left on a set of speakers. Look at Warfedale, look at the sale section of best buy or circuit city for a set of infinity speakers, or polk speakers. A decent name brand that you find on deep discount. Take them home and listen to them, and then keep them if you like them.
The other option is the Altec Lansing MX5021 speaker set. It's about the best value in 2.1 multimedia speakers. It's clean, the speakers sound almost like fullsize bookshelves, and the sub can almost put out bass... 40hz is expected. Try auditioning them and seeing if you like them.
Best of luck.