I've always heard, in order of importance:

1. Frame
2. Wheels
3. Components

Wheels are, of course, the easiest thing to swap out. Many shop owners will be happy to quote you a price for upgraded wheels when you're buying a new bike. Or you could sell the wheels that come with your bike & buy decent ones. I have one set of crappy wheels (bought to use on my rollers mostly) and on hills especially I can feel a BIG difference between them and my nice wheels.