With my 2000 GTP, I did the downpipe first, then the front PLOG so that the exhaust flows out... Then I put in the intake, like the others said. With the stuff in my sig, I am about ready for a pulley drop (to a 3.5") and PCM or tune... It really depends on how far you want to take your car. I was really happy with the car stock, then I put my current mods in it, and I am even happier. Once I drop the pulley and get the PCM tuned, I will be even happier, but I have put myself into a position where if I want to go beyond that, I will have to start getting different parts that could have been put in from the start, but I also told myself that no matter what, 3.5" was as far as I was going to go.
If I could do it over again, instead of the downpipe and stainless steel PLOG, I would have looked hard at a full set of headers. Not because I NEED them for a 3.5" pulley, but they are really a more complete exhaust system from the engine, and the cost was really about the same. Labor would have been the biggest increase whether I did it myself or someone else did it, headers take more time.
Good luck!