Performance wise the best way to go is:

-Cold Air Intake (AEM/DC Sports or Injen, the Injen is easier to install and comes in more colours).
-Hondata ECU Reflash
-Springs or Coilovers
-Energy Suspension Motor mounts if you can put up with more vibrations
-Tires
-Race header (illegal, but the shorty headers don't give much gains)
-Exhaust (mostly for looks and sound since the RSX comes with a good exhaust, especially the 05+'s)

It also depends on how far you plan on going, if you are going all motor or forced induction, how much you want to spend, and what your goals are.

The combo of the intake and reflash has gotten really, really good reviews and is dyno proven to be a good combo. The motor mounts are cheap, reduce wheel hop and give faster 1/4 mile times. Springs greatly effect handling and looks. The tires are going to improve handling and traction as well because the stock tires suck.