For me there is no particular order. I keep my eyes open for good deals, and when one shows up that's on my list...and I have the cash....I go for it. Then there are the 'unintended' mods that happen just because opportunity presented itself. LOL
I have a few mods sitting in my shop right now that are NOT on my 'mod wish list', as the opportunity matched the cash, and I just couldn't resist. I can blame the Z for 99% of this..LOL. I have done more little mod things because of the ideas I've gotten here, and am enjoying the fruits of those unintended efforts.
I really can't suggest where to start. If you favor performance over looks, then focus in that direction and go exhaust, CAI, and possibly programmer. If looks are more important, tinted windows is great starting place. The only advice I can offer, is keep your eyes open for deals, and the for sale section here is pretty good place.