Good statement right there. What I'd recommend comes down to what's already on the car and what condition it's in, but I'd start by making sure what you currently have is all in good working order before chucking other parts at it. No use spending money on intakes and tunes etc if the car is going to break something a month later.

• Decent tyres, spend a little more than the run of the mill might as well be driving on crayons crap and you'll feel the results
• Decent set of pads and rotors plus a brake system flush, consider brake lines too as the ones on there might be 15 years old now.
• Shocks if yours have had it, good opportunity for a strut and spring package or coilovers
• Check bushings under the car, engine/gearbox mounts - plenty of replacement options in both rubber and polyurethane to choose from
• Good wheel alignment once your suspension is all sorted. This can transform the feel of the car completely and makes sure you get the most out of your new tyres. Not just a standard toe-and-go.

As far as the engine goes;

• Check the service history. Has the timing belt been done, what condition are the plugs and leads in, is it running right, is the cooling system all good?
• Clean out the intake and intercooler of any oil that might have accumulated, an air oil separator or catch can might be handy if there's a noticeable amount. Otherwise your engine is trying to burn oil vapor which isn't helping it.
• Give it a check over for leaks, corrosion on pipes (I found my coolant hard lines for the heater had just about rusted through while tearing down my engine), leaky gaskets.
• Fuel pump. Walbro 255 lph or other reputable brand, buy a new gasket where the pump cradle sits on the fuel tank before fitting as they tend to leak if refitted.

From there the usual mods are 3" turboback exhaust, top mount intercooler (second hand STI ones are good value and give good performance gains), intake resonator delete. Injectors, VF-series turbo, and a tune build upon that, though that starts moving out of the 'cheap' range of mods.