Since there's some debate about the differences between "sound" and "tone", I'll stick with "tone" (which I see as more of a function of amps & FX)...
Finding my tone wasn't an inexpensive or quick process--it took me years to find the right combination of components (read: pedals, preamps, power amps, FX, & cabinets). Along the way, some of the major things I learned (none of which are rocket science):
1) All it takes is one crappy component in your signal path to hose your overall tone.
2) When experimenting with different components in your signal path, only change one at a time. e.g., if you're looking for a different sound, try changing your preamp OR your power amp, but not both at the same time. This allows you to better understand the contribution that EACH component makes to your overall tone.
3) There is no direct relationship between the number of compontents in the signal path and how good the overall tone is. I think of it as a quadratic function--tone gets better as you add more components to a certain point, then the quality of tone begins to decrease.
4) I think the same thing goes for tubes--while having tubes in the preamp and power amp circuits certainly improves the tone, at some point you reach diminishing returns where having more tubes doesn't really make much difference.
5) There's also no direct relationship between the complexity of a component (# knobs & switches, # circuits, # effects, etc) and the quality of the overall tone. In general, more complex means more things that can break! However, since complexity generally is related to flexibility, there's probably a better chance of finding your right tone in a component with a lot more options.
6) Unless you absolutely have to, don't sell a component immediately to buy another component. Sometimes, while you're getting used to a new component, it's nice to have the old component around for reference/ comparison. Plus, if the new component doesn't work out, you can always sell it and go back to the old.
7) Some components, plain & simple, just complement each other better. This is something you'll learn with trial & error. For example, some wahs don't sound as good with some amps as they do with others.
With that in mind, here's how my rig has changed over the years:
1) Digitech GSP21 & IPS33, Crate mini-stack
2) Digitech GSP2101, Crate Blue Voodoo & Fender M80 combos, Roland GR-09 & VG-8
3) Johnson Millennium JM150 combo
4) Boss DS1, Mesa Triaxis, TC Electronic G-Major, Mesa 2:90, Johnson 2x12 cabinet
5) Ibanez TS9, Mesa Mark IV, TC Electronic G-Major
In the early days, Digitech gear was clearly working for me. Once I discovered both Mesa amps and TC effects, however, I know I'd never go back! Is there something out there that's closer to my dream tone that my Mark IV? Perhaps, but I haven't found it yet...
Wow, this was long. Where did my lunch break go?