Tires, suspension, brakes. Only things worth doing.
Yes you can get intakes and headers and exhaust, but the investment vs gains aren't worth it IMO.
Figure out WHY you want to mod your car, and WHAT you want to do with it. Plans for autocross/rallycross/track days? Then there are some good supporting stuff you can do. If you're just going to commute to work and the store, some of them may not be worth it.
For me it is worth it to have a separate set of summer and winter tires, where as Krazykarpenter's fine with just all seasons due to his intended use.
Sway bars are cheap and will stiffen up your car for extreme cornering. Tires are infinitely important. etc etc.
You will not make the NA faster in a straight line reliably for a reasonable amount of money, and if try to, you might as well have bought a WRX with what you're going to spend. With that said, you can have a metric ton of fun with a stock non-turbo car; I've got nearly 5 years and 100+ pictures to back that up.