Hi. Welcome to the world of Skylines. Hope you are enjoying your ride.
Air filter/downpipe and exhaust are the first mods normally. The next mod will very much depend on what your future and bigger plans are. If you have 500 hp in mine, like I did when I purchased mine, I wud go building up the engine by investing in good and reliable "support stuffs" first.
This was what I did. After exhaust n air filter, I got a boost controller and up the boost. The ECU was retuned using an F Con V. That set me up to about 375 rwhp at 1.1 bar.
Later, I installed a GT intercooler/good double plate clutch/sports radiator/oil cooler/twin power spark plug spark enhancer/6 caliper brake kit. Those kind of things. They sort off ready the car for the increase of hp in the future.
After that, the 600hp mods came in where the engine was opened up. Internals were changed etc.
I believe, as do my mechanics, that all the external support stuffs must be there first before the big power mod could be done...sort of doing and completing a really good infrastructural work first before the real work is done.
That's my experience. Hope it helps.
Happy modding and good luck.
Peace.