A good place to start is to fit new spark plugs and leads, then either new injectors (expensive) or have them cleaned, then oil and filter (incl fuel) change.
Then I would do the following:
1) Induction kit (make of your choice), plumb in the cold air pipe correctly, best position is to remove the lower grille blanking plate and install an air scoop, you can then fit a zun sport grille in place of the blanking plug.
2) Free Flow Exhaust, with sport Cat if you can afford
3) Remap, you will be getting more air into the system, the remap will ensure that the fuel air ratio is correct at all rev ranges, improving torque and power. For me power is all about top end performance, I think gains in torque are more important as they affect the responsiveness and 0-60 time so i would ask the remap to concentrate on this. (i drive more on twisty roads and not autobahn)
4) Strut Brace Front (Rear if you can afford)
I am sure if you buy right you can get the above done for £600 -£700, I have a couple of things to do as earlier post and the final cost will be within the above bracket.
After this the cost becomes serious and involves new cam shafts, super chargers etc. the reason it is expensive is because at this point you have to ensure both the bottom end of the engine is robust to take the extra power (lighten, balance, new pistons rings etc) and the Clutch is man enough to transfer the power, a lot fit an M3 clutch which is lighter and stronger. The gear box should be capable though. At this point you will need to look at bigger brakes, and serious suspension mods to keep the rubber on the floor. at this point the cost far out ways the gains, but if you are like me, you do it because you can.