To be slightly more informative than derrick, your best bang for the buck early on would be getting a Cold air intake (cai) and installing it yourself. The AEM would be a good choice. And then a straight through muffler, borla or the one raceing beat used in the MP3. Those should free up about 5 whp and maby 1 or 2 torque. Not much but noticeable.
I completely disagee with sundevil. On look at the restrictive factory intake, especially just above the grill, and you realize that any open element filter is an improvement. Even if it's just in sound and aesthetics. Does anyone know if AEM or any other short ram mfg. have made any power claims. Didn't AEM say that it was not worth producing a CAI for the Protege5? Although I know that Injen disagreed.