Moktan:
To echo unleash_me's sentiments, it is great that you are considering separate components as that is an approach that usually yields superior results. However you should consider this very carefully.
The Onkyo CS-515 you have mentioned appears to be quite good and if it has unleash_me's approval then it must be a good buy indeed. If you decide do go in for separates then you should be aware that it may ultimately turn out to be more expensive than you have anticipated / budgeted for. However the flip-side of this argument is that you can take your time to add components to your system and thus build a great system over time. So the Onkyo is a safe bet for pretty good sound right away or you can lay the foundation for a more fulfilling, flexible setup.
As to why many prefer to mix and match components -- well, it is mainly because one can do far better than what is on offer from a single company. That's simplifying it a bit but several factors come into play. To give you an example, the Mordaunt-Short Avant speakers are a bit lively and have a rich treble and an equally treble-happy player may make it a bit unpleasant to listen to. So it may help to pair it with a warm-sounding Marantz CD player that brings balance to the sound.
Unleash_me has already made excellent suggestions so there is not much to add. However I would only say that you may wish to consider getting just a stereo integrated amp and speakers for now and continue using your DVD player as a source. Then get the CD player somewhere down the line. If you try to get all three within 30k the results may not be better than the Onkyo CS-515.
The reason for suggesting the Norge is that it is a competent amp for around 11k and leaves you room in your budget to get a really good pair of speakers like the Monitor Audio BR2 (18-20k). Even with your existing DVD player (what's the model, btw?) as a source it should sound pretty good. Or you could get a CA or NAD amp (around 19k upwards) and pair it with a bookshelf like the Mordaunt-Short Avant 902i (10-11k) or Wharfedale Diamond 9.1 (12k).
If you choose to increase your budget or purchase the CD player in future then either the Marantz CD-6002 or the Pioneer PD-D6 should serve you well. The latter is a SACD player as well which is always good news to a Jazz/Classical music fan as those are the genres most favoured by this format.
Good luck with your auditions and happy listening! Do take your time and audition as many components as you can before making a decision.
