Seriously, forget the CAI. Like Michael Yount said, the car HAS one. It's been tested that a factory air box with the silencer removed performs as good or better than a whole line of CAIs. And don't even think about an air filter exposed to the engine bay.
Do what Yount said, that's the best advice I've seen. The only thing I'd like to point out is where he said with longtubes you may need o2 sensor extenders. I managed to get away without them, just pulled the harness a little more. But that may not work in every case.
Gears will make your car feel like it lost 1000 pounds. I'd say by far that is the biggest bang for the buck as far as performance goes. Well, other than nitrous or freemods.