I spent a lot of time on Ebay looking at frames, whole bikes, etc before scoring my specialized at the local shop. I got real interested in frames way beyond my normal price range.
But when looking at the higher end stuff, your wallmart bike derailur, brakes etc may not even fit a higher end bike. So try to find a frame with at least the derailurs still on it if you can. If you already have a better bike, IE derailur hangs from the frame, not the axle bolt, 1 1/8 headset, 8 or 9 speeds on the rear, then stuff will likely swap onto the new bike. A really quality frame won't even have rim brake attachments, forcing you to upgrade to disk....
Just getting it all already on the bike may be the best route in the end. But the price range is at least $500-800 for the lower end of the nice bikes, that msrp'ed at $1200-1500. Pretty much figure on paying about half the msrp for stuff. Less was possible for me, but only because I show up with other shit to trade with at the used bike shop, and I'll buy a bike with broken stuff on it.