Welcome Sam!
One of the first things I would do, is have the car checked over (suspension, steering, leaks etc), and a quick dyno run, to make sure there are no nasties that can be dealt with now before they cause major problems. This will give you a solid base for some modification and reliability. Many reputable places can do this; BoostWorx, Smooth Garage, Morpowa, Southern Hi-Tech, Classic Performance etc etc.
A full, turbo back exhaust system with a minimum diameter of 75mm (3") is essential. There are many, many, many different types of off the shelf systems, or you can have a custom one made by someone like Andrew from AM Peformance. You could install a pod filter, but make sure its secured. A decent panel filter (HKS, TRUST etc) is also just as good, and IMO better because skylines "sneeze" with pods. Unless you want to run VL style flutter. An upgraded intercooler is also a good thing, again, many off the shelf kits. Be aware some of the kits require you to cut the crap out of your bumper and reo bar, you dont really want this. You could get an electronic boost controller or a bleed valve (electronic boost controller recommended) and up the boost a little bit. I'd say you would be pretty happy for a while with those things done. Dont forget also things like decent brake pads, and quality tyres aswell so it stops as good as it goes. Then you can look at things like coilovers etc to upgrade handling.