A Dyno tune should be done AFTER you're done with all bold-on mods to get the most gains from of all of your parts.
My first performance mod, if you could consider it as a performance mod, was replacing the clutch helper spring. Google "370z century spring p/n 72577". It was a great cheap mod that really helped get a better feel of the clutch. Costs $20 but you will definitely enjoy driving the car even more. Second mod could be some type of intake or oil cooler. I went wit a Stillen G3 intake, was pricey but worth it, I definitely felt some gains right away.
Congrats and welcome to Z land!!
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