I'll play. Probably somewhat 996 centric, deal with it.
Add lightness. Pretty easy to get 200-400 lbs out depending on the car by just removing stuff. Spare tire, tools, replace heavy power seats with non-power seats, sound deadening, A/C if you're lucky to live somewhere that's actually nice, radio and speakers, etc. The upside is that your car will handle better, accelerate faster, get better MPG, and you can probably sell some of your removed stuff. Obviously the sky is the limit once you start spending money on lightweight parts.
Intake. I just put an Evolution Motorsports intake on my 996. I have no idea if it added even a single HP. But DAMN does it sound good, and that's worth the $300 (used) all day long.
Exhaust. See intake. I plan on adding Fister D mufflers (aka Gundo hack), similar to the PSE. May not add much HP but they sound great. Even going from headers+race mufflers to stock heat exchangers+B&B 2-out on my '88 Carrera didn't make a huge performance impact.
ECU chip. Minimal gains on an NA car. Huge gains on a turbo car.
Engine builds. As crazy as your wallet can handle.
Suspension. This one is a bit tricky, because you can either enhance your car or totally ruin it. I am not a big fan of picking a la carte pieces because they should all be matched to work together. Factory engineers spend months and millions to get the ride/handling balance right, suspension tuning isn't an easy thing. My '88 Carrera had Bilsteins that were custom valved for the heavier torsion and sway bars, despite being low and tight I would not describe it as being rough. For my 996 I'm planning on getting the RoW M030 package, because it has shocks, springs, and sway bars that were engineered and optimized to work together as a package.
Wheels. Bigger wheels look cool but are also heavy, and unsprung weight makes pretty much everything worse. Either spend the money to get lightweight wheels, or stick with the stock sizes. Suspensions are also designed around a wheel size range, for example wheels larger than 18" are not approved by Porsche on the 996.