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Personally I don't think there is a specific order. I started with CAI then realized I needed a tune just to use it. I decided to go and get a dyno tune and have been a happy camper ever since. If emissions are not a limiting factor for you then Exhaust, headers, X/H pipe should get you some good results as well.
 
long tube headers only. mufflers wont gain much power over stock, as the flow pretty well to begin with. if you can get away with it, off road h/x pipe. make sure to research the exhaust combo before you purchase, once you look into it a little and listen, you will know what i mean.

a CAI/tune should be done first to really unlock the potential of the car. it reduces the throttle lag big time. then, you also have the tuner you will need for future mods. make sure you know what tuner your local dyno shop uses, otherwise you might end up buying the wrong one. a dyno tune is the best way to maximize your upgrades.

gears will give you the best SOTP feeling. 4.10s are probably the best ratio for most people, but there is some debate there. DONT FEAR THE GEAR!!!

lowering will improve the look, and also the handling. fore best results, combine that with new wheels/tires.

overall, there is no specific order to do the mods, but getting the tuner first will help you out in the long run.

:cheers: