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Start with maintenance first, do all belts, plugs wires, make sure you have no boost leaks. Check out the upgrade paths on this site, there are a million other threads on this. Good luck
usually manual boost controler and aftermarket boost gague
full exhaust
and intake are the first things to get out of the way but SEARCH and type in anything you want and 5 threads will pop up on each subject
have fun and understand everything before turning boost up
+1 on above, do all maintence and repairs. If you don't know when it was last replaced, replace it.
All belts including full OEM timing belt change (STM DSM TIMING BELT REPLACEMENT KIT) (Comes with balance shaft elimination kit), water pump since you are going to do the timing belt, plugs (NGK BPR6ES), wires, coolant flush and all oils (engine, tranny, transfer case and rear differential). Replace all vacuum lines and coolant lines as they are pretty old and may be leaking.
There isn't really one best mod you should do, they all kinda work together on these cars. If you are really set on one thing I say boost gauge and mbc.