Exactly. You have to determine what you really want the car to be. There are trade offs in many areas. If you want big power, you will likely sacrifice a lot of boost/throttle response. If you want fast spool, you'll sacrifice top end power. If you want to lower the car a lot and sharpen the handling, you'll sacrifice ride comfort. These are by no means 100% one way or the other, as there are mitigating steps you can take to reduce the trade off, but those are often expensive or complicated. The general rule of thumb is, anything north of 400whp will require an engine build or you'll eventually blow it up. That makes +400whp builds considerably more expensive and time consuming. Many people will start with a full turboback exhaust and a tune. This is a great starting point, but I urge people to wait until they have determined if they are going to want to do a turbo swap in the future. If that is the case, then they should probably wait until they have the turbo picked out before they choose an exhaust to properly match it. No one likes buying a second exhaust system because their first choice no longer fits their new turbo.
There are however, a number of modifications that are not only relatively inexpensive, but don't have many drawbacks. These are some of the best ones to start with:
Swaybars
Endlinks
Swaybar mounts
Engine Pitch-Stop mount
Transmission mount
Polyurethane bushings (to go with these ^)
Good quality tires
-summer ultra-performance
-dedicated snow tires
Forget about crap all-seasons right from the beginning.