Hmm, actually, I am not a big devotee of the subwoofer. I love bass - clear, undistorted bass - but I am not sold on subwoofers, in their common, commercial incarnations.
A bit of background, to show the position I make this argument from: my own system is a home-made 3-way, with reasonably beefy bass drivers. They are 30cm in diameter, with light cones (woven carbon fibre), and 1.4kg magnets. I have them in 70 Litre sealed enclosures made from hardwood... close to 100 kg of thick, solid hardwood.
The drivers and cabinets were selected/built to maximise clarity and transient response. They could go lower in a bass-reflex enclosure, but I decided it was not worth the extra difficulty, enclosure size (and weight!), or degraded transient response, to get that little bit more bass. As it is, they play down reasonably low: the -3db point is 42Hz, and the roll-off from there is quite shallow.
I am quite keen on my hardware, and use an active crossover, so that one amp powers the subs, and a seperate amp powers the bass/mid drivers. Having this active cross gives me the flexibility to fiddle about with levels and cross points, for example to see how my system sounds with a low X-point anywhere between 100 and 1000Hz (it's usually set to 100).
Also, I DIY and read a fair bit, so have a reasonable idea of the tradeoffs involved in putting together audio gear.
Value for money
These bass speakers of mine are self-made, and cost me $400 AU for the pair of drivers, and about another $100 for the timber and other materials. These speakers easily out-perform a Velodyne subwoofer owned by a friend. This sub retails for $2000, for a single box, containing one driver and a small in-built amplifier. The Velodyne is startlingly flimsy - the total weight of the speaker is under 20 kilos... therefore a lot of the sound the speaker generates is due to the vibrations in the walls of the enclosure, resonating with all the acoustic charm of a chipboard guitar. This reduces the intelligibility of music, and is only really good for movie explosions - where distortion doesn't really matter.
Thus, I think the Velodyne is pretty sad value for money... and since this friend sells this sort of electrical gear for a living, I presume that the Velodyne is one of the better value subwoofers available.
Compromise
Bass notes move a lot more air than treble notes. They are more of an engineering challenge to recreate. There is an inverse cube law in effect - a 30Hz note at 100dB represents 8 times as much acoustical energy as a 60Hz note at 100dB. There is also the issue that most systems use two normal speakers for stereo, but only one sub. Therefore, to go an octave lower than your main speakers, the subwoofer will ideally be 16 times larger than the main speakers.
The more extension a sub attempts, the larger this number will get.
In the real world, very few people are willing to live with such an enormous speaker. Subs are scaled down, and are therefore a lot less efficient than the main speakers. Thus, the average sub needs to burn a lot more power than a normal speaker. The smaller the sub is, the higher the required power.
Since the surface area of the driver is unlikely to be 16 times the surface area of the main woofers, the sub's cone will also be required to move a lot further to generate equivalent SPL. Again, the smaller the driver is, the greater the excursion requiremed to match the main speakers.
The outcome of all this compromise is that the sub works a lot harder than the main speakers. They work differently, and they *sound* different. This is more or less noticable depending on how much the design is compromised, how it is implemented, and how much money is thrown at the problem.
Integration
A perfect subwoofer only produces very low notes, with no output over 100 Hz, and no distortion. This makes a perfect sub easy to place, since deep bass is not very directional. For real, non-perfect systems, as long as the sub has low-ish distortion, and reasonable efficiency, it should integrate smoothly. But due to the compromised size of the average sub, they are driven hard, compared to the main speakers, thus have high distortion, particularly when playing loudly. This is obviously bad for the system, as intelligibility is reduced, and also prevents the sub from blending in 'invisibly' with the main speakers.
Another issue is that some subwoofers, particularly those for smaller systems, have output higher than 100Hz. This is not a true subwoofer, but is usually sold as such. There is nothing wrong with this approach... if it's done right. Doing it right requires:
a) 2 subwoofers - because higher frequencies are more directional, the subwoofer needs to be near the main channel, or the sound will be funny. Any illusion of reality will be ruined, as sounds will be coming partly from the main speakers (in stereo, arranged in front of the listener) and partly from the sub (in mono, from one location). Simply popping one sub in the corner won't do for realism (Bose systems are guilty of this). So you really need two subs rather than the normal 1, and for the subs to be placed near (or under) the main channels.
b) very clear-sounding subs. Your hearing is much more sensitive in the 300-3000 Hz range than to sounds below 100Hz. Therefore, any difference in sound quality between the main and sub channels becomes more apparent the higher the crossover point between the channels is.
Home Theatre
HT is a pile of crap. Actually, the concept is fine, but a lot of what gets sold as HT is awful. I know this is not a reasoned argument - but let the crap speak for itself. Five little plastic speakers and a "subwoofer" the size of your shoe does NOT make for high fidelity.
If you are considering buying into HT, think about buying separate components rather than a package deal. Instead of dividing your money 6 ways, between 5 flimsy speakers and a receiver, just get a receiver and a pair of *really* good stereo speakers. If they do a decent job, you won't miss the subwoofer. And recycle your old speakers for rear / surround duty. Since their job is just to fill out some of the sound FX, pretty much anything will do.
If you get this lot set up, recover from the financial damage, and are still craving more bass, save up a little and buy a pair of big drivers, and build the subwoofer yourself. Make it big, and solid, the sort of thing that the stores don't sell because the shipping / storage cost is too high, and you will have a real subwoofer. The easiest way to do this is to either keep it very simple (thats what I did), or to use a kit. Jaycar is probably the best retailer in Australia / New Zealand for these. Madisound and Parts Express are good on-line sources.