My first set was a cropped top and leggings bought for a january that lasted about nine days, and the only thing that stretch taught me was that cheap leggings go see through exactly at the point you bend over to pick up a dumbbell, which is a lesson you only need once. I spent the next few months checking fabric by holding it up to a window in the shop like a mad woman, and I've done it ever since.
Activewear doesn't really clash with other activewear so much as it clashes with itself, if that makes sense. A heavy duty sports bra under a flimsy vest shows every seam and strap line, so thick needs to go with thick and light with light, and anything with a built in shelf bra under a proper sports bra is just two garments arguing with each other. White is the one that catches people out, lovely until you sweat through it or sit on a gym bench, so it wants to be kept for lower intensity things, studio classes, walking, the gym days that don't end in a heap on the floor. For anything that's actually going to work hard, black still does the job it's always done, and it hides the evidence. Lightweight pieces earn their keep in warmer months and for travel, they pack down to nothing, but they're not the ones to trust for anything high impact because there's often not enough structure in the fabric to hold you steady, it just moves with you rather than against you, which sounds nice until you're mid run.
Fit is where most of the money gets wasted. Sports bras in particular need trying on and moving in, not just standing in front of a mirror, because a band that feels fine standing still can ride up the second your arms go overhead, and straps that look secure can dig in by the second song. Leggings should feel snug enough that they don't need pulling up, with no bagging behind the knee, and the waistband should sit flat rather than rolling, which it will do if it's too big no matter how good the fabric feels in the shop. Fabric weight tells you a lot before you even try anything on, a thin slippery feel usually means it'll go sheer when stretched, a slightly heavier, drier feel usually holds its shape through a wash and a workout. Seams matter too, flat ones against skin, raised ones against nothing important.
If you're between sizes in a sports bra, go down on the band and up on the cup rather than the other way round.