decide on what you really want to end up with, a beastly drag car that is difficult to drive on the street, a road warrior to handle the twisties like a snake, etc.
while on a stock motor a catback is about worthless, if you have heads/cam/intake mods or nitrous/supercharger, then a catback can show serious gains over the stock exhaust. same with the other parts, alone they don't make a big difference, but in combination with all the other mods they form a complete package.
on a stock motor, stick to intake-side mods and weight reduction mods to see the biggest gains for the least money. once the intake side is done, gears would give a nice seat-of-the-pants boost. then go with heads/cam and exhaust mods. then upgrade the brakes!
pretty soon your car has more aftermarket stuff than stock...
regardless; it's kinda fun buying new bits for the car if you can spare the coin!
have fun!