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It depends on how much $$ you have, and what you want to spend.
But, if you want to get the most power possible out of your engine, I'd say go with a turbo. But if you don't have that kind of money (and who does?) go with an intake (short-ram or cold-air, it doesn't really matter) for starters. I'm not convinced that they add too much power, but they sound great.
Then an exhaust would be the next step. That should get you a little hp, and make your car sound a little better. I wouldn't get headers if your planning to get a turbo, though.
Finally, you could go with cam gears, that is pretty proven for power, but the disadvantage is that you'll get a pretty rough idle.
There are more things you could do but they're pretty expensive, so I won't go into them unless you want.
I would advise against NOS, because unless you take it to the track you won't use it too much.
Hope that helps.
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