A cold air intake is a good first mod part, but for starters do a full tune-up. Also a free power mod is to remove the MAF screen from the TB, but I'd highly suggest you wait until you buy a CAI or it could cause probs with the MAF sensor (not too cheap).
Start with plugs (NGK Tr55'* or their equivalent gapped at .060")
Spark plug wires (people here like Taylor'* and MSD'*, and the Taylors come with the boots installed from PFYC.com for a nice price)
180* t-stat with 2 1/16" bleeder holes arond the edge
Clean throttle body (Sea Foam Deep Creep, or basicly any TB cleaner, be sure to avoid spraying the MAF sensor though)
And finally, once all of the above is done go to the CAI, which is probably cheeper to make (get a 3" 45*(?) mandrell bend pipe from NAPA or an exhaust shop) and a K&N cone filter with a 3" inlet. If you are good at fabricating a box to enclose and shield the filter from the engine and radiator heat, but allows cold air from fender and headlight side.
To really open get the air moving a high-flow cat and better muffler will really give you what you are looking for.