I know a million people probably replied to this already lol but if you aren't lookin to make insane power, I'd just stick with a full exhaust (headers, HFC's, mufflers, or straight pipes, whatever you prefer) and a decent intake system to start. Those are the most common and easiest to do.
Next thing I'd go for is a programmer (like superchips etc.) if anyone has anything out, or even an upgraded ECU.
I know it may sound wierd on a Z because it's a V6, but one of the quickest and easiest ways to build power is through a cam.
After that maybe some minor forced induction? Maybe a small supercharger or a small twin turbo set up.
If you plan on any hard driving/track time, invest in an oil cooler, it's worth it.
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