CONGRATS ON YOUR NEON!!!
The 1st mod is usually the CAI and the only true one out there is the Iceman, unfortunately they went out of business. I can get a used one for you for around $170 shipped to you.
For the exhaust, if you have a DOHC then you won't see much gains, if any, from a cat-back exhaust until you do some serious engine work. If you are going for looks then by all means, go for it. The stock piping is 2.25" from the factory and flows well. If you have a SOHC engine then you might want to upgrade the muffler, stock on SOHC is restrictive.
Take a look at
Modern Perfromance for engine, suspension and whatever else you need. They are great to talk to and have alot of knowledge about neons.
Do you have an auto or manual?