Your mods depend on what you want to do - what DO you want to do?

Is this just to have more fun with your car, as in a street driven car?

Do you plan to autocross or go to HPDE's/Track Days?

If you want to get into autox and track days, you can have an amazing time while pushing the car very hard with just some high/max performance street tires like the Falken Azenis, some brake pads, ATE superblue, and a helmet. Same goes for autox.

If you want to do that PLUS you'd like some extra added power to help stretch your R's 'legs' and help it breathe better, there are plenty of good bolt-on mods.

Intake:
AEM CAI - good intake, makes good top end power, but is obnoxiously loud. One of the things I love about my R is hearing the engine sing, not the intake wallop scare my neighbors. I'd pass on this one, although it IS dyno proven.

Comptech Icebox - what Trey said. Nicely made, sounds good, makes power. I'm not impressed with it, at least not anymore than I am with the AEM. You won't lose the bit of torque you might have lost with the AEM. All around good performer.

Mugen CAI - The King of All Intakes. Also dyno proven from 2500rpm all the way up, like the icebox and the AEM. It makes the MOST hp/tq of any R intake. It also is just as quiet as stock and the icebox. Check out http://www.kingmotorsports.com/ to see the intake if you don't know anything about it. It is very expensive, but if you find a used one or have the money to spend, it is worth it. It is a total night and day difference from stock, and a healthy upgrade from the icebox/aem/j's racing intake, etc. Uses the stock intake arm and an enormous cold air duct. Installation is a b*tch.

Headers

budget-conscious - JDM OEM 4-1 (2.5" collector, requires a larger aftermarket cat, like a carsound cat available from SMS products), JDM DC 4-1 (same comment as above)

Expensive, dyno proven (in price order!): Spoon, Toda 4-2-1, SMSP, Hytech.

Exhaust

Like Trey, I'm a bit fuddy duddy. I have the fujitsubo RM-01A, and I made 8whp and 4wtq with this exhaust, pretty consistent gains from 4000rpm and up. I have heard equally good things from the SMSP exhaust, which is even quieter than mine, very stock looking. Again, hytech is an excellent product with excellent gains, but Very expensive compared to other options.

Just remember - Loud does not equal faster! there are stock-sounding exhausts that flow as good as any.

VAFC is a good option if tuned correctly. That's very important: if you don't know what you are doing, the VAFC will be a big disappointment.

Final Drive - Great mod!!
I dont' have a different final drive, but everyone who has one loves it, and those who don't swear an awful lot on road courses, wishing they had one. 4.785 is the JDM Final Drive, and 4.929 is ATS's final drive. Both lower top speed slightly in exchange for quicker acceleration and lowered shifting points. ATS supposedly makes the R MUCH more exciting to drive.

Cams - this depends on what you want. Mid range? Top end and a higher redline? Drag? Track? I'd stick with the other mods, intake/header/cat/exhaust/final drive/lightweight rims/tires/pads, etc. and wait for cams.

That's a whole lot of babble I just did.

There are many people on this board with a ton of info - make sure to ask if you need info about specific products, tuning, etc!