Time for my two cents. Your friend that told you to get a Magnaflow exhaust and a K&N intake is someone that says they know about cars because they watch Powerblock on Spike TV every weekend. It is the generic answer for "performance" and he would probably say the same thing if you told them you bought a Chrysler Sebring. Although Magnaflow sounds surprisingly decent on our cars, I just don't like their stuff. If you want performance modifications, the "trifecta" is best. Exhaust, intake, tune, just like you and others have said.
For exhaust, FSWerks should definitely be at the top of the list. For Darwin's sake, don't get the stealth. You pay more money to get a quieter system that is probably comparable or slightly better than stock. If you don't want any noise, then delete the lunchbox and leave the rest alone. A race system definitely is not loud, but if you aren't sure, just go with the street system.
For your intake, FSWerks is popular. I'd look at the CFM system that someone else already linked, I'd have probably bought that if it was on the market when I was looking for a CAI.
For your tune, pretty much either FSWerks or Tom. Both use SCT X3 flashers, but from what I see, Tom is more customer oriented and personable. He will definitely support you with tuning if you decide to make more major modifications.
Your car is putting down maybe 110 hp at the wheels. With these modifications, you should see maybe 10-20 hp increase on a good day. Let's face it, we don't have diesels and horsepower costs money. I had all of these modifications, plus a race header and put down 139 hp on a dyno. I was unsure of this number, as other people at the event who knew what numbers their cars made were getting substantially lower results. Other members of this forum told me it was probably closer to 150 hp or higher.
If you want to modify your suspension, the first modification you should do is the rear motor mount. CFM makes a very nice one that installs in literally 5-10 minutes. I have race bushings in mine, you might want street bushings. Mine vibrates a little bit, but it's not bad. I think you may have a rear swaybar, since you have an SES. If for some reason you do not, Steeda makes a rear swaybar kit so you can mount one. I just did this yesterday and it makes a great difference. They also make a 28 mm, but you should also upgrade your front swaybar to reduce the understeer you will get from such a large bar.
Those are pretty basic. Other modifications are coilovers/springs, brakes, turbo, more advanced motor work.
I don't know what the tint laws in New Jersey are, but just go legal. I had 5% tint and got a ticket for it, it is a pain in the ass to remove.