From 3SI Wiki

First Stage

-Testpipe
-New plugs, get NGK coppers. They're great, the only downside is that you gotta change them around every 10k and they're cheap as dirt too.
-New wires, MSD one's are great. IPO sells 8.5 Superconductors for 65USD shipped. If not you can always get some Accels.
-Make sure that you replace the throttle body and plenum gaskets when you change your wires and plugs.
-Get an air intake. There are a wide variety of filters and air intakes that you can buy.

Second Stage

-Get a 3sx performance pulley. You can either get the underdrive or the one that's the stock size. I personally recommend getting the stock size one because it will do just the same thing that the underdrive will do and it won't slow down your accessories. Again that's totally up to you.
-Get a good clutch, maybe ACT or some others, there's a pretty good variety of them. But make sure it's a good known and can handle a decent amount of ft/lb. RPS is also a great brand preferred by our members.
-You should get an aluminum flywheel, most likely Fidanza or something of that sort.
-Lower your car with Intrax or Eibach. These are springs and if you want flexible you can go with TEIN, or some other brand like JIC. But Intrax springs work great and their pretty cheap.
-A front and rear strut bar, these will help a lot with body roll and increase cornering capabilites. If you have the extra cash then also get some sway bars.

ATX ONLY

-Get a high stall torque converter to help obtain quicker 60' times and lower ETs in the 1/4 mile.
-Purchase a shift kit (reworked valve body for your transmission). This will enable quicker, firmer shifts.

Third Stage

-Exhaust, there are MANY different types of setups that you can do. You can get an aftermarket exhaust or go to a shop and have them make you a custom setup like Fireman or Wicked. You can find more details about these setups HERE
-Downpipe OR headers, 3sx and EK2 manufacturing both sell great downpipes. Headers have been proven to provide a 2-3 hp increase OVER just an after-market downpipe. Unfortunately, headers are nearly TWICE as expensive as just a downpipe. Gotta pay to play!
-New motor mounts, the old ones should be all flimsy by now. If you start your engine and it looks like its gonna come out and bite ya in the ass then get some new mounts. 3sx, and Maximal Peformance sell them for a good price.
-After-market cam gears, to fine tune and dial in your power

Stage Four

-Before moving on to these power upgrades I would recommend purchasing a LSD or limited slip differential. This will help you nail 2.0-2.1 second 60' times and eliminate or reduce the "one wheel peel" and rolling wheel spin associated with our stock open differentials.
-Cams, if you're a die hard NA fanatic, or want to kick up your rev limiter and take full advantage of your DOHC motor, cams are a MUST. You will want high rev valve springs and an ECU flash to bump your rev limiter up. (TurboBob provides 3si with his ECU tricks)
-Ah the wonders of Nitrous. If you need that extra kick then I suggest going with a 50 shot and see how it goes, if the engine responds well than go up to 75. There are tons of brands like NOS, Venom, etc.
-If you need more power then go S/C. Supercharge your car with one of RIPPS kits.
-Or you can always go TT.

This list was compiled pretty quick, if anybody has anything to chime in please post it