A question we all asked at some point! It`s likely what led us to this forum.
The advice I`ll give is to read through the subforums that handle the subjects you are looking for info on. This post is in the engine and performance forum for the 3rd gen 3, for instance. There are threads after threads about all the ways to mod your car, what people have done, what people have seen done, and so on. Get an idea of what has worked for other people, then set on your own path. If you try something and it doesn`t work, post it here! I can nearly guarantee that the questions you have in the beginning have all been asked, and answered here at least once. Read the stickies, read the how-to articles. Soon enough the questions you`ll have will be unique enough to your personal situation that asking it here will benefit all of us.