Just as RAM is the easiest and most effective upgrade for a computer, so is a wheelset for a bicycle. Many companies keep the stock cost down on new bikes by starting with inexpensive wheels.
This is a link to sheldon brown's site about wheel building.
http://www.sheldonbrown.com/wheelbuild.html
My experience is that its not as difficult as it is complicated and intimidating. There is a fair amount of mathimatical figuring involved and there are a few resources online to help, as long as you are using "compatable" parts.
I've been wanting to build up a new set for a few years now, but I've not been able to find the proper spoke measurements for the rim and hub combination that I've purchased.
To me the cross patterns are very important. I'm still quite timid when it comes to radial lacing, and 4 cross seems excessive (to me anyway). The only wheelset I've comissioned has been a fixie set with 3x that the guy was going to build radial front and 2x rear.
I recently found an old, still in good shape wheels with RSX 7sp hubs and mavic cxp21 rims to put on my 750, but I still need to rebuild my old campy set for my roadie.
As for tires, I'm riding vittoria 23 rubinos and rubino techs (armoured sidewalls) and serfas seca fps 23s on my roadie and fixie. I've run 38s-23s on my hybrid and have some vittoria zaffino 28s on order, but my favorite tires were the avocet cross Ks that I ran on my mtb as well.