Koni yellow's are some of the better stuff available, I personally went with Ground Control coilovers and koni's to get the option of chaning rates later on. Also it allowed me to go with custom rates for my swap.

If you really want rims, stick around 15" or 16". The bigger they are the more they way, and usually tire cost goes up as well.

Don't look into big brake kits until you're really good at auto-x, just not worth it until then. Get some Brembo blanks and a good set of pads. If you want to spend a little more try some stainless lines, although they won't stop you any faster than can improve pedal feel. DO NOT get slotted or drilled rotors, waste of money and they'll decrease performance.

CAI, headers, and exhaust won't add a whole lot, especially for the cost. Biggest bang for the buck would be forced induction or motor swap. I dont' know the legalities of a motor swap though, as I'm in Florida, and around here they don't care about anything pollution related.

Best thing to do at this point is search and read a ton. Figure out what you want to do, and what your budget is, and go from there. Or, post your budget and we'll all make random suggestions based on what we like as to what you should get. That's always fun!