(being an EX Rabbit GTi owner) Welcome!!.
ya integra's respond Very well to upgrades!. But then again everything you touch will cost you a bit more too. (not that anything breaks on these cars anyways). a cold air intake (or icebox) and a header + cat back exhaust will help free up alot of power. Like anything the sky's the limit, but if you work slowly at it and do one thing at a time it wont feel like your pouring all ur $$ into it. good luck