Don't know what you drive but here goes. And in this order.
Cold Air Intake (AEM, Injen, etc.)
Headers (Whichever is available for your car.)
Exhaust (Tanabe, Neuspeed, etc.)
Cams (Higher performance ones)
Pulleys (Lighter aluminum types)
Intake Manifold (This one is optional, it really depends on application.)
Throttle Body (Same as above)
Suspension (Coilovers, Shocks or Struts, etc.)
Brakes (AEM, Brembo, Stillen)
Brake Lines (Steel Braided)
Cosmetics (Body Kits, Spoilers, etc.)
NOS (For the serious racer)
Timing Equipment (Such as Apexi, etc.) This is also depending on application.
These are almost about all things to consider modding that I can think of right now. As for what each will produce, when you look into them, just do the research. In the end, you will want to put the right components together to give you the best results. I'm one that believes that since I know what I want, I go with what works best. Not so much on other peoples opinions. Just because someone says this product or that one is best, it might not suit your needs. With just a little research, you can make a lot with a little. Read car magazines, that would be a really good source for information. Also consider visiting the websites of some of the makers that actually make the products. The more informed of a buyer that you are, the better your choices will be in the applications that you use. Good luck.