Most mods in these cars require a tune, so that is implied. CAI is the first place to start, just the cheapest mod that gives good gains. After that, probably axle back, just for the sound not much power there. Then I would do LT's and an H/X-pipe, either off-road or high flow cats (personal choice), and with the LT's I would do the delete plates. And somewhere in hear new gears would help, but depending on your needs you may not want them. Underdrive pulleys are also a very common mod. All of these mods will increase gas mileage, with the exception of the gears which highway mileage. Now you could stop here...
For the real motor-head here is your first major choice, FI or NA. FI is easy enough, buy your supercharger of choice (or turbo for those of you with that wild hair). My personal favorite, for its co aesthetic and power, is the saleen supershaker (their supercharger that is combined with the mach-1 shaker). At some point you may want heads and cams.
NA is a bit trickier. Don't bother with the delete plates, cus the new intakes are going to hit the market, if you use a turbo or centrifugal supercharger this would also be a good mod. Now you need to decide who you want to port your heads and which cam you want. The cam market is starting to look pretty good, so now's a decent time start these upgrades. Personally, I like Livernois motorsports, everything I read and hear about them is the best.
Now, with either NA or FI you're going to want to look at a new bottom end (since everything else is about done). For FI, you can do a stroker or not, either way, and some big dish pistons for lower compression to let you run more boost. For NA, again a stroker is an option but some high-compression pistons really help power numbers everywhere, it should also help gas mileage. At that point you're pretty much done, with something like 10k+ in your engine!!
This, of course, doesn't even touch the suspension, which is just as important.
Dan