personally, while the above lists are good mine is different....
1. Weld in mufflers or a cat back, the sound change is more noticable
2. K&N (dont waste time on CAI or whatever until you really want it, personally its last on my list and for looks not performance)
3. Pulleys
4. after about 5k miles of you driving it, get a shifter and/or gears, this wait will have given you enough time to come accustomed to the feel, so the upgrade in this time frame will be much more noticable and more appreciated
5. all the other crap (tuner, midpipe, headers, heads, cam, etc...)