Good headers and a high flow cat (as opposed to a "regular" or OEM cat) are the 2 pieces that will make the most difference. Just remember that Hondas already are set up pretty tight even stock.

If you can afford it, go ahead a do new headers first. DC Sports makes great headers for Hondas.

If you have the money, go ahead and do everything at once. Why not? Do the headers, a high-flow cat, and then the cat back exhaust system. While you're at it, don't forget to be balanced and do your intake as well. Something like a cold air intake (AEM or something) and/or at least a K&N air filter.