Opening up the intake side of the motor, with a high flow air filter, and a larger diameter throttle body, from what I´ve heard, seems to be the biggest bang for the buck.
Exhaust is often said to be OK as is, but a somewhat better flowing exhaust set up, is said to help mid to high range acceleration some, but said to do little for very low end grunt/torque.
From personal experience, getting what you have, to run really well, is the largest HP gain. A good tune up, the sensors working within tolerances and servieable/clean vacume lines. Seem to offer immediate improvements.
Cleaning the grounds for my electrical system, offered more noticeable HP gains, than changeing to a high flow air filter.