First Thing Cold Air Intake or Fender Well Intake This is debateable on what is the best. So i'll give you many options.
L36 / L67 3800 Stainless Steel Intake Pipe - $90 shipped
Cheetahonline Custom Automotive Performance Products
TDC RACING FWI 165.00+shipping with k&n cone filter.
http://www.topdeadcenterracing.com/P....aspx?CatId=27
Colder Spark Plugs!
I use Autolite 104's These can be had at any parts store for Cheap. - $12.00
But here's a link to ZZP. ZZ Performance
Colder Thermostat!
SLP Performance Parts Thermostats Price: $14.99
180* TSTAT
ZZP's PowerLog - $119.99
It's essentially a front Header! You will notice quite a difference!
ZZ Performance
Hogan Performance W-Body 3" Stainless Steel Downpipe with Off-Road Pipe 189.00
Hogan Performance W-Body 3" Stainless Steel Downpipe with Off-Road Pipe: 3800 Performance
This is catless! It will save you money to go this way if you can get by with it in your state.
Also you might need an 02 Sim Rear O2 Emulator: 3800 Performance 49.99 or have someone tune the rear o2 code out of your system to run catless.
That is just some examples for things to buy, almost all should be installed before you drop pulleys! Be sure to have your car scanned for knock and tuned for performance by a local or reputable shop.
Here are some handy vendor sites for modding!
http://www.3800performance.com/
http://www.zzperformance.com/grand_prix/index.php
http://www.wbodystore.com/grandprix/index.php
http://www.pfyc.com/c/GP/
http://www.moradpartscompany.com/
http://www.gmpartsdirect.com/
http://www.hoganperformance.com/
http://www.getoverkilled.ca/
http://www.reflectiveconcepts.com/index.html
http://www.intense-racing.com/
http://www.easyperformance.com/
http://www.tripleedgeperformance.com/
http://www.prjperformance.com/
http://www.rockauto.com/catalog/raframecatalog.php
http://www.thrashercharged.com/L67_htm/3800_home.shtm
I'm sure i missed some vendors but that's the basic rundown. Good Luck Modding!