Many types of in-wall speakers use the interior of the wall as a cabinet. This is usually a solid foundation that can produce a great bass sound. But often enough, the backing will be too deep or not properly sealed, causing a distorted sound and wasting a lot of rear acoustic energy. The caveat is to use sealed speakers in every situation. Their sound is controlled by the cabinet, not the wall.
Your options
An easier option, from both a wiring and placement perspective, is mounting in-ceiling speakers. They tend to be more visually acceptable, as they mimic the round style of most lights. However, downward projected sound is disagreeable to some and can create audio-imaging problems. Niles and SpeakerCraft address this issue with independently adjustable tweeters and woofers for the wall or ceiling. Purists, though, still scoff at the idea of sound coming from above.
For a truly seamless room with great sound, you will definitely want a floor or ceiling mounted subwoofer. Polk Audio makes a few of these which, while not cheap, take advantage of the subwoofer's non-directional frequencies. A subwoofer can shake the room from the floor just as efficiently as from a corner. And it will eliminate the obstruction of what is often the most cumbersome piece of a home theater system.
Only the best
There are some things you should just not compromise on. Particularly when you are cutting holes to install speakers, make sure you get a great product. If you are not ready, financially or otherwise, for superior speakers, get a quality surround system with the money you would have spent embedding your walls with so-so gear.
Paintable grills are just about standard, so don't bother with a product that thinks they can drastically change the look of your home. And don't forget about other rooms, single speakers with stereo sound are perfect for smaller rooms where multiple speakers aren't necessary. Choose carefully and wait a week before a final decision. In-wall speakers contribute to a dynamic and modern room, but once installed, there's no turning back.
More information on in-wall speakers