Gotta do some pretty heavy reading:
Is your first stop in my book. Check stickies around here too. You really have to read with these cars. Darn snail complicates everything it seems.
I'd scratch the cold air intake. Stock intake is good for 300+hp. Also could cause the engine to run rough if you are unlucky and/or don't get a tune.
Exhaust... You mean cat back or turbo back? If it is turbo back, you will need a tune to get your performance benefits from the downpipe. Also might run rough until you do. I know uppipe REQUIRES a tune. I think downpipe you are okay, but won't see any performance increase. Cat back is mostly just for sound preference, very little hp gains. Downpipe will open your car up.
Tuning... Access port from cobb or tactrix seems to be the way to go unless you go to a shop for a pro tune. Even then some shops will require you have one of the two so they can tune it. Tactrix is open source. It's cheaper, but you have to know what you are doing to use it. The tune can be downloaded as a 'base map' and then tweaked to your car with some patience and reading. The access port is a plug and play tuning solution. The tunes are "off the shelf" and are not tweaked to your car. You use base maps depending on what mods you have installed. This is an easy alternative, but you are looking at $400+ for a used one. Also, the tune is not car specific. Read over the engine management stickies.
Good luck, enjoy your ride, and post some pictures up