I use a Pi with iQaudio PiDAC+ in the sitting room with an existing AV receiver and speakers - £90 all in (including a nice little case) vs £350 for a Sonos CONNECT. Bedroom is a Pi/iQaudio PiAMP+ - £110 vs £500 for a CONNECT:AMP. Both sound better than Sonos and are easily assembled in about 15 mins. Office is my existing Mac mini and speakers.
Or, as others have pointed out, there are some very good Pi audio distros (Volumio etc.) that can be combined with the free Logitech Media Server to give you a system entirely within your control that doesn't leak any information. Albeit less slick.
The downside is that all of the above need an always on PC or server, but that's the price you pay for not doing everything in the cloud.