Where to start

Intake / Header / Exhaust !

You may want to first check out a decent cold air induction system to replace the restrictive factory intake system. If you are on a budget you can make your own using a K&N filter and routing it into the fender well or front bumper of the car. Then I would look at getting a bigger exhaust and headers. Go to big on the exhaust and you will lose some low end grunt unless you have some sort of forced induction.

If you really want bang for the buck I'd look into getting NItrous