Here's my two cents worth. May not be worth that much but that's what I'm charging.
1) Nissan is already getting just about as much out of the engine as can be done (without damaging itself). The days of major power gains with simple bolt-ons is over. If you want substantially more power, you need a turbo or supercharger.
2) Almost all after-market parts for the Z are expensive. Small market, lots of engineering required to improve on what the factory has done, &c.
3) Mods are not necessarily additive and can, in some cases, actually work against each other. Eg, if mod1 alone gives a 5 HP boost and mod2 gives 10, the two together probably won't give a 15 HP boost. You need to do a lot of research to make sure your mods play well with each other. You can't just throw the "best" components together and expect everything to work right.
That said, it's your car and money. If you like mods, go for it! Just don't be expecting much in the way of power gains without spending a lot of money.