There was a discussion on forums.roadbikereview.com about this specific topic. Most of the people in that conversation recommended going with a handbuilt set of wheels if you can afford it, from a good wheelbuilder (like oddsandendos.com). Handbuilt wheels will generally last longer and have greater support than pre-built wheelsets. The concensus in that conversation was that spending a lot on wheels will get you "bling" factor, but not much else for the extra money.
Others will argue that wheelsets make a huge difference in the ride quality, or that the change in rotating mass from buying a lighter wheelset far outweights the change in weight of static mass, so they would say that it is worthwhile to spend money on wheels over any other component. Scientific evidence, however, contradicts these long held beliefs. Subjective testing would also reject these ideas. But for those that feel "faster" on an expensive lightweight wheelset, even if can't be verified scientifically, are getting their money's worth - they're just paying for their perceptual experience (and there's nothing wrong with that).
Empirical evidence also indicates that super-light wheelsets have a higher failure rate under heavy riders (180lbs+) or highly agressive riders.
If you can't afford a handbuilt set, there are a number of choices between inexpensive pre-built wheelsets from Neuvation (http://neuvationcycling.com) and ROL (www.rolwheels.com). I've seen people race on the very inexpensive Xero XR-1s, which are extrememly light and can be had for only $229 from Pricepoint.com. For about $350-400, you can pick up the highly regarded Easton Circuit wheelset. Going with an inexpensive set will leave more room for component upgrades that will make a more noticeable difference.
Many of the above wheelsets are considered "semi-aero", with 23mm-30mm rim profiles. But studies seem to indicate that anything under 40mm has negligible benefits.
It may be that the wheelset that comes on your bike will be just fine, and you won't have to upgrade it. If you do decide that you need to upgrade, use sites like roadbikereview.com when trying to decide if a prospective wheelset is worthwhile or not.
You can save a lot of money by buying used components, but buying a used set of wheels can be problematic, as you don't know how much abused they've endured - unless you find a set that obviously shows little wear. Craigslist.org is a great resource for used bike parts.
In the end, tire choice will have a much greater impact on the ride quality of the bike than a wheelset. I like the Michelin Pro Race 2s, and the Vittoria Diamante Pro Lights a lot. When used with latex tubes, they both ride very nice, and they're both very light.
Whatever you choose, have fun on two wheels!