If I were you I'd get:
Apex catless downpipe ($300 new- got my used one for $200) - This will replace your J pipe (flows about 50% more air) and midpipe deleating both cats. If you don't want to spend that much you can have a custom midpipe made without the cats for about $80 (I was quoted $60 here in Dallas but wanted the upgraded J pipe). You can keep the stock cat-back section until you have more money
Boost Gauge and pod ($100)
And save the rest for any of these:
DSM - Air Fuel Controller $300
Custom MSP side mount intercooler w hardpipes (~$500)
FMIC (~$900)
SRI (~$125-200)
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You'll definately see bigger/quicker gains going with the exhaust first. However the bigger exhaust makes it tempting to raise the boost. If you have patience then you can do that mod last. This is the route I went. I bought the FMIC first, the SRI second, Exhaust third (still awaiting install), and will be buying a good EBC sometime this summer.
Getting the intake side done first won't yield huge gains, just a more consistant level of performance. But once you are ready and then get the exhaust, the power jump (I'm hoping) should be significantly more than getting it on an otherwise stock MSP.