Best mod path

Car modification 101:

1) Make sure all routine maintenance is up-to-date. If doing items like brake pads / rotors, consider upgrades at the time of replacement. If you're not sure something's been done (e.g., service records), then do it. If doing plugs, perform a compression test while you're there.
2) Drive the vehicle for a few months in different conditions. Really get a feel for the way the vehicle operates. If possible, take the vehicle to an Auto-X course, where you can push the vehicle to the limits in a safe/controlled environment where if you lose control, you aren't going to hit something (besides cones).
3) Once you've had a bunch of experience with the vehicle, determine where you feel the shortcomings of the vehicle are, and how you'd like to address them.
4) Set a budget. I recommend two different budgets in this scenerio: 1) desired budget (what you'd like to spend); and 2) max budget (what you can afford to spend). The reason to have two budgets is that there are times where it makes sense to replace certain items in conjunction with other parts (e.g., the downpipe has to be removed to install an uppipe, install a turbo inlet while you have the intake manifold off to do TGV deletes, replace the shifter and crossmember bushings when you're installing a transmission mount, etc.) Make sure both of these are well below you're expendable cash, because when modifying a vehicle, things can break, and parts like the shortblock or transmission aren't cheap (NOTE: max budget does not include "what-if"s).
5) Don't be afraid to stockpile parts. If your budget doesn't allow you everything, there is nothing wrong with buying what you can now, and waiting to afford the remainder of the parts (as long as you eventually install them).

When you've set a goal and budget, then start doing your research and posting questions on forums.