For many people, CAI + exhaust + tune is enough. Decent boost in power and response will be much better. After that you are talking (turbo-)supercharging - which can get $$$ since, in addition to making the s/c work, you may need a better clutch and, depending on power level, trans and diff. Read through the Tech area for more info.
One of the first upgrades I made was getting a Premium Membership. The stickers that are included add at least 15HP.