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Most folks start with airbox and exhaust mods, they work their way up to heads, cams, rear gears and S/C's.
Tell us a little a about what you want to do with the car, ie track, drag or street, and your tranny (Auto or 6 spd). Lots of folks will chime in with advice.
I'm not looking to race, drag or otherwise, just like knowing I got the power, no what I mean? My 02 is Auto.
Already installed Air Intake. My son says to get Exhaust, Borla Stingers, with X Pipe. Abviouse for the roar plus a little exta HP.
Do some Long Tube headers with or without the cats and some nice sounding pipes... I'd then put on a Tstat and take the car to a tuner for a good tune, and then you should be good to go! I have the above mods and am putting down 347rwhp/362rwtq with a Tune from ECS...
Let the modding begin (Don't forget the performance hood seal!)
Headers are a great cost/power performance gain. I installed my own set and for around $1250 shipped I added around 30 rwhp (dyno later this month for hard numbers). This plus the Stinger intake make a VERY noticeable difference, and I've got an A4 too. Here's my header install, so it's possible to do this yourself. Beyond that is heads/cam and SC/turbo, but I'm not ready to crack the block open. Good luck and enjoy! http://forums.corvetteforum.com/show....php?t=1357733
Since you stated that you don't really know all that much about mods and you don't plan on racing... why not leave it stock? The power is there from the factory. The car is capable of far more than most owners are able to use. Just pointing out that stock is generally the easiest to live with. Chuck.