Most folks will agree that making the engine breathe easier is the best place to start. A good first mod to start with is with the intake system.
The engine in your car is effectively a big air pump. It pumps in air (and fuel) and expells air (burnt fuel, carbon dioxide, water vapor, etc). The more effectively the engine takes in and lets out that air, the more power it can potentially make.
When a car is designed, it is usually made quiet so that it provides a comfortable ride. However, the restrictive hardware on the intake and exhaust do more for comfort than they do for performance. Removing the restrictions in airflow will increase performance, but also increase noise.
There are many intakes to choose from, regardless of your engine. Some replace part of the intake system, where others replace the entire system.
Starting on the low end... K&N makes a number of drop-in filter applications. A quick look at most retailers or online will find you replacement intake systems, in a variety of price ranges. If you are handy with piping, you can even build your own intake system.
