Although I have an ECIS intake, I'm going to say save your money there. It makes a cool noise, but it's just not really worth it. If you can find a Dinan long-tube intake for a reasonable price, then I'd say it's a possibility. I'm not so sure about Cosmo Racing's intake, but it's another option. But anyway... the best intake really is the OEM intake.
If you're going the forced induction route, the CHEAPEST kit I would buy is the G-Power supercharger kit. You'll also need to buy an oil cooler just to be on the safe side. If you are hellbent on going turbo, expect MalibuMafiaV to pop his head in here later on and tell you a custom K04 turbo kit can be done for $1,200. Otherwise, there's the Technique Tuning turbo kit for $6,000+. It comes with everything you need, including an appropriate tune.
Koni Yellows and a good set of sway bars (Hotchkis?) will benefit you more than anything else. Headers are a great little mod (as we've been discussing) and will provide a slightly noticeable gain in power. I remember smolck pulled up to the exhaust shop when I had to get a custom piece of pipe installed to make the headers bolt up to the exhaust line (yeah... I drove open headers for almost 20 minutes). When I cranked it up and revved it a bit, we both drooled. It sounded amazing. When I pulled out of the parking lot, my tires
broke loose significantly easier. My phone rang shortly thereafter.
For exhaust, I've heard from various people that a single 3" pipe will provide around a consistent 6 WHP gain. So far, that's some of the best numbers I've seen in regards to exhaust power gains. Of course, it will have to be a custom job, but it can actually be cheaper than, say, a UUC TSE3 exhaust.
Personally, if I could do it again, I'd focus on suspension first and then go back with the power gaining mods. I'm done messing with my car. The only other "mod" I'll end up doing will be a Gripforce F1 Stage 1 clutch and the lightweight flywheel. For $400, it's a tough deal to beat (significantly cheaper than OEM). I'm just a little worried about how it will affect daily driving, but from what I've read on people's reviews, it really isn't bad at all.