fuel pump?
shouldn't need that until ecu upgrade, but then again, you did list the ecu in your list of options.
Power wise, I would roll with, in order:
1. exhaust - bang for buck, this should enrich your hive with the most killer wasps. make sure it's a turbo back exhaust
2. front mount intercooler, and intake. I list these as one, as if you change your fmic, you will most liekly need to change your standard airbox to a pod, due to the change to piping
3. electronic boost controller - debatable, as you can only wind the boost up so much before the ecu kicks in with the fuel cut
4. ecu upgrade - nistune seems to be the flavour of the month. other proven methods include power fc and other well known stand alone units
5. turbo, injectors etc etc. depends on your budget, as now you are entering big bucks territory
on a side note, as you step up the power, braking, handling and drive train upgardes are highly recommended.
the other avenue you could take is improve your suspension and brakes as a starting point and build from there
decent set of coilovers with some nice brake pads will see a big improvement in your driving pleasure.
This would be the smart way to go, as it drastically improves the handling and braking of the car, but most people like to go the power way first and then catch up with the rest