I personally prefer Cambridge, but Klipsch is a totally different animal. Klipsch a lot of people find fatiguing to listen to (although this is largely because they are amplified poorly), while I find I can listen to my CSW's forever. This is because CSW's are pretty laid back/warm IMO, and they lose some final detail because of it as compared with the Klipsch. Either way, you should listen to both for sure to see which suits your tastes better. Beware the Klipsch-Yamaha Receiver combo from what everyone says though.
Athena, Paradigm, Axiom, NHT, Polk, BA, to name a few, all have speakers that are worth an audition.
I have never owned a more dissapointing piece of audio equipment than Cambridge Soundworks speakers. They are incredibly harsh and fatiguing and, as it turns out, surprisingly inaccurate. (I thought all the vocal performers on The Simpsons had pronounced lisps, until I listened to the show's CD music compilations on a "real" pair of Hi-Fi speakers). Others' opinions will differ, and you should definitely consider all opinions, but my experience with two different CSW speaker systems has convinced me to stay far away from any home audio equipment bearing the CSW logo.