Welcome! If you do a quick search there is a thread for the order in which you should do your mods (obviously, you can do certain things differently) but, start with an uppipe. The stock one is catted and really restricts your turbo spool up. It can also be quite dangerous for your turbo because it can break apart and destroy the compressor wheel.
I recently became an owner of an 02 as well, and I'm pretty close to you. We should go out for a drive some time