Here's the order that I put my mods on, and their "gains." All gains are using the seat-of-the-pants method.
1) K&N PIPK: louder engine sound, greater throttle response, 3-5 hp, $100
2) Magnaflow Catback: louder and mellower exhaust note, better throttle response, 5 hp, $200
3) Hypertech chip: Smoother engine, mellower exhaust note, 10-15 hp, better shift points and shifts, great increase in mileage, $200
4) BBK 66mm TB: louder engine sound, much better throttle response, 3-5 hp, slight loss in mileage, $200
5) JBA Headers: louder engine sound, slight loss of low end torque, increase in highway power: 5-10 hp? increase in mileage, $1000+
At this stage, I was getting about 23/28 city/hwy (using premium gas).
6) BBK Instacharger, removal of Hypertech chip: = throttle response as stage 5, power: whoa nelly!, mileage: ~21/24, $3500
In retrospect, the headers didn't do that much and were expensive, but necessary for the blower addition. I wouldn't have done them if I wasn't thinking about the blower. The chip was by far the best investment, but intake and exhaust work are almost necessary also. The TB was a pretty good power gain for the money also.