Well said Tubbs (where's Crockett?). Good, objective list.
Now my subjective suggestions. First, buy used if you can.
1. Accessport, or at least a reflash. Even stage 1 is fun.
2. Downpipe- I, like Nick, am very happy with my Stromung.
3. Catback- get a used one if you can. I'm budget minded, so if nothing else, some have good results from picking out a nice muffler and having an exhaust shop build the rest (3" pipe with crush bends is more than adequate).
4. Wheels. I have Rotas and am very happy with them. New with tires will run over $1k, used with tires around $600-$700.
These are what I would call "must haves." Of course, some have a different list.