Hi. I bought my starter set from Sector 9, but not a complete: I bought the deck/trucks/wheels separately.
Definitely avoid the Sector 9 wheels. I have a set, but they are narrow, and very hard/slidey. You can have mine(barely used) for $5, plus shipping. :p Instead, get some wheels by 3DM if you want grip to make your eyes bug out, or the ABEC 11 wheels suggested by Neil.
If you shop around, (Asphalt playground, for one) you will be able to build a custom setup for very close to what you can buy a complete setup for, and get what you want.
I don't know how those boards compare, and I only have experience on the Cosmic 2. My Cosmic seems to be perfect for my use: Cruising/carving mostly, but some informal slalom turns occasionally thrown in. The flex is about right for me, but I weigh 145lbs. If you get a chance, try before you buy; I'd like to try out some more decks, especially with some softer/springier flex.
As for bearings: I've been using cheap-o generic bearings, and they are fine for now, but I will be getting some higher quality stuff soon. I'm staying away from the really expensive stuff, but I don't compete.
If you come out to CT at all, I'll be happy to show you my embarassingly small parking lot where I ride. ;)