well, that all depends on how much money you have to spend, and the condition of the car. the cooling system is one of the things these cars can be problematic with, as there are *lots* of plastic components that get brittle with age.
they can range from the thermostat housing to the coolant bypass lines, to the coolant inlet for the heater core.
cold air intakes are popular, but really don't do much in the way of actual performance. they do sound cooler, though.
lots of guys will buy chips, which can add a little bit. depends on the chip and who made it.
the *real* hp gains are with mods like cams, (sunbelt, shcrick...lotsa $$$$), turbo/supercharger assemblies (again, not something that should be done to older, higher mileage motors).
these cars may have been quick in their day when new, but lots of other cars are quicker than the e36. where we still outperform is in handling...
that being said, i suggest rogue engineering rear shock mounts, and an aluminum thermostat housing, as well as a cooling system upgrade (metal impeller waterpump, fresh fan blade, and fan clutch, hoses, t stat....) and if you can swing it, a mishimioto radiator.