I presume you are wanting to change the other parts of the components also (speakers on the lower half of the door).
If you want to widen your choice of speakers that you can get to get the best out of the system, you should get some speaker pods from mikeythemini
www.newministuff.com these will allow you to buy and install 16.5cm components.
There are many threads on these forums that handle what speakers are the best and you should have a search and read these. I myself have some infinity components which I quite like, other people have kenwood dual mags, and others swear by focal dls (or is it dsl !).
The standard mini headunit isnt great (at least my 02 cd player was pants !). As of before there are many threads on which to change first, I would say that 99% of people agree that by changing the headunit, you get a better increase in quality of sound than installing new speakers first. The mini headunit doesnt have a high powered internal amp, so it wont really run any aftermarket speakers that well, also any sound processing that occurs is quite poor, so if you can afford it it is better to change the headunit first.
The natural progression for a ice install would probably be something along the lines of
1. Put aftermarket head unit in.
2. Change speakers and sound deaden.
3. Add sub to boot, and install amps for all speakers.
4. Pull aftermarket head unit out, and install better more expensive HU with built in motorised screen.
5. Add dvd, Tv, sat nav, and DAB boxes to the HU.
6. Install more screens around the car.
7. Put a playstation in for good measure.
Anyway, you get the idea, I am still quite happy at stage 2. Im sure at some point i will progress though !