First thing I did to mine (bought a new 11 MS3) is add an intake. For the cost, I think it delivers a very good amount of performance and noticeable difference. I went with the K&N Typhoon and I am very happy with it. It has a block off box to help reduce air temps and *knock on wood* with 3000 miles no CELs. I have noticed much better response as far as reduced lag, not sure how much power it may or may not have provided but the response and sound are very good. Of course, there are many other intakes as well so you have plenty to choose from.
I thought about doing the ECU turning but I may hold off until my warranty expires before I go that route.