Depends what you want. If power is all you are after than start with modifications that will help you now, but will also not need to be replaced down the track
ECU upgrade, fuel pump upgrade, intercooler upgrade, boost upgrade etc.
The first goal people usually do is try and max out the stock turbo. Good gains can be had with it, once you get over it (which you will fairly quickly) it's turbo upgrade time. With this comes a whole new can of worms and cash.
You'll find most people try and achieve a power goal or a role for the car (street car, drag car, circuit car or a mixture of these). Honestly just start reading through that sticky and get your knowledge up so you know the weaknesses of the car, what max's out at what power levels and how much things cost.
Very easy to spend $10,000-$20,000 on these cars without even doing half the things that you want, especially when starting with a standard car.