Stereo system or headphones?
Definitely, a high quality stereo system is best. Not sure how this works, but it is true that the ears are not the only organ to receive sound and pulse. The problem with stereo systems is cost. Firstly, you need to have the money to live in a separate house - units and apartments cause neighbour issues. But even if you have a house in the suburbs, you need good sound insulation to avoid flooding the neighbours during the early hours of the morning. Secondly, they require amplifier, media server or (not so recommended these days) CD player, speakers, interconnects, cables... all of which can cost thousands of dollars each. You'd be scrimping to set one up for less than $10-15k. Nonetheless, there is no need to go overboard and spend up around $50k - that's just unnecessarily reduced returns to cost.
These days of compact living, stereo systems are, unfortunately, too often impractical. Thus, we opt for headphones.
Earbuds are good for travelling or at work, and there are some high-end ones. I have a nice pair of Sennheiser earbuds with mic, so I can listen to music at work and still answer the phone. Alas, there is, as far as I can tell, no earbud with mic that employs a sidechain function to hear your own voice through the ear speaker. This means that while the earbud is sealed into your ear, when you speak, you hear your own voice booming inside your brain. Not so pleasant.
Thus the next step is to acquire a functional headphone with mic arm - I think they call them traffic-controller head sets. Avoid the one-ear versions, as they are useless for listening to music. I have a quite reasonable headset from Sennheiser and I pair that with a special HiRes USB C dongle into the computer to bypass the computer's own D/A converter. It's pretty good actually, but I'd never use it to listen in dedicated mode at home. It also functions well into the iPhone with an adapter, and has the effect of, in phone or computer, providing your voice with the strength and clarity necessary to be empowered in communications - always keep in mind that the person with the clearest toned voice gains a unique empowerment in any conversation.
Headphones are the way to go for dedicated sound immersion experience. Always get an 'open', not 'closed' set. We use closed headphones when recording at mic, to avoid the earphone sound travelling into the mic, and creating a delayed background duplication of the backing track. For listening, always choose an open headphone. There are many good ones, but anything less that $2k is not worth it. Prepare to spend around $3.5k for a good set.
These days, they sell balanced cable headphones, which require a special plug hole in whatever you plug your headphones into. Yes, they are better, but more in volume than anything else. Balanced cables cancel out interference, and are used extensively in music production. They came to headphones late because they are not really needed - the gains are marginal, though worthwhile if your system supports that.
Next you'll need a headphone amplifier. Don't expect to get a good sound out of your home stereo amplifier's headphone output. Most stereo amplifiers throw all their smarts at the speaker output, and skimp on the headphone channel. A good quality headphone amplifier will cost at leat $1k, but better to get one around $2.5k - you'll notice the difference.
Then there is the source. The first important point is to ensure you are listening to at least CD quality resolution: 44.1kHz 16bit. Better if you can get Studio quality, 96kHz 24bit, and the key aspect is the word length - 24bit. The sample rate is less critical, so don't waste time on uber-sized kHz. In general, stick to WAV files or FLAC if your converter can handle those. Never use AAC or MP3 - always listen to lossless format file music. There is a good reason for this, as compressed music, like MP3, cause the brain to work in transforming the sound - you don't want that load on top of the fact you are already listening to digital sound.
But delivery is also important. Sound over WiFi, or Bluetooth, is always degraded. Thus, streaming your music from the internet is useless for this exercise, and listening through wireless headphones is also pointless. It must be wired.
Sound delivery from a mobile/cell phone is always degraded. Never think you are hearing quality sound from your phone. There are technical reasons, and each phone is different, but they all compromise due to space restrictions. I would love to go into why a large amplifier delivers a better sound, and it's not all about the A/D converters, although that is a fascinating area - power transformers have a lot to do with quality sound.
These days, the best delivery is from a hard drive connected to a media server - preferably a dedicated music media server. A good one will cost around $2k. The external hard drive part may be a bit of a stretch, so a USB stick into the server is fine, if not perfect. CDs suffer from gitter, and removing gitter is a complex matter. Still, they are better than streaming.
The usual sequence is computer to headphone amp, or USB stick into media server to headphone amp.
If you have to use a computer, no problem - that will be excellent, so long as you manage the output. The method preferred is digital output - USB C or B to headphone amp. Alas, computer OS systems modify the output before it exits, so you need a way to force the OS to DO NOTHING to the sound on the way out! You can try the systems sound settings - and be sure to check these anyway as many files are sample rates of 48 instead of 44.1kHz. YouTube has decided to force 44.1kHz but computers convert to 48 because that is the standard video sound track sample rate. It's a mess, so your computer will do what it's set up to do, and you can't necessarily change that. The point being that sample rate conversion is a speciality area, and cheap methods degrade the sound quality.
Preferably, your headphone amp will come with software to install on your computer that bypasses the OS's interference in the output process. And then there are other apps that go further - I'll explain later in my own setup.
Lastly, when and where to listen? When: always, alone after everyone else is asleep. That removes their compulsive energetic autocratic repression of sensibilities. Where: in the dark. Light/eyes interfere with the ears. This is a ceremonial experience - not a social event. If you have another person present, you will be assailed by their energetic presence and responses. We are trying to dive deeply into the ocean of sound - treat it a sacred moment.
Now, my own setup...