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The most effective, and yet most basic power modifications can be summed up in the acronym I/H/E: intake; exhaust; headers. The main challenge for any enthusiast is choosing parts based on the goals for the car.
Exhaust Systems
A good cat-back exhaust system can benefit anyone. Cat-backs basically use the same piping in both turbocharged and naturally aspirated (N/A) applications. Some may argue that piping diameter should vary between the two (larger for turbocharged cars), but that's subject to opinion. It is, however, true that you'll reach a point of diminishing returns where larger piping won't benefit a N/A car any more. If brand names aren't important to you, pick up a cheap system on eBay: you can hack off the muffler and replace it if you want something unique or quieter.
Headers
On a similar note, a good set of headers should be on the shopping list for any serious N/A enthusiast. Those of you who plan on turbocharging sometime in the future may choose to omit headers as they'll be replaced by the turbo exhaust manifold and the turbo itself. Again, if you don't care much for brand names, look for cheap sets on eBay. Be warned that many eBay sellers are unscrupulous when it comes to describing their products: 4-1 and 4-2-1 headers may be advertised interchangeably.
Intake Systems
Intake systems are relatively simple in concept. A pipe directs air to the intake manifold... You can buy into the advertising of the larger manufacturers, but consensus is "a pipe's a pipe." The absolute cheapest eBay intake will suffice. You will, however, want to replace the filter with a quality unit with the proper inside diameter (usually 3") from a reputable manufacturer (K&N, etc.). If you plan on adding a turbocharger in the future, the intake system will invariably need to change. But don't fret, you didn't spend hundreds of dollars on a brand name; you bought a cheap eBay unit!
Underdrive Pulleys
Another highly effective modification to consider is an underdrive crankshaft pulley. Underdrive pulleys (UDP's) divert less power from the crankshaft to the accessories, leaving more power to the wheels. Unlike exhaust systems, headers and intakes, when it comes to UDP's, it is wise to invest in a quality unit. Howell Automotive and Unorthodox are two very well known manufacturers. Given the fact that UDP's rotate at high speeds, buying cheap units is a risk: they may be machined to sloppy clearances.
A word of warning...
Whatever you do, do not buy into electronic gimmicks. For the most part, any ECU modifications or mysterious black boxes that connect to the throttle position sensor (TPS), coolant temperature sensor (CLT), or intake air temperature senor (IAT) don't work and aren't worth the money.
Always do your maintenance!
As always, before you modify anything, be sure your car is up to date with all maintenance: change the oil; check all other fluids (flushing where necessary); replace the oil and fuel filters; inspect all belts (replacing if necessary); and change the spark plugs and wires. Seafoam is a good way to restore an older, carbon-clogged engine to health.
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-Paul
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First Modifications
