cai (cold air intake) demonstrates best gains but risk hydrolocking if you drive in rain a lot. SRi (short ram intake) is not as potent, gains are about 5 hp on the 2.0d if i remember correctly. Or you can do a "stealth" intake as mentioned above which I believe is basically a cone filter on the end of your MAF. Intakes are expensive, if you're not caught up in name brands you can go cheaper, just watch out with ebay...most stuff is crap.
as well as this http://www.focusfanatics.com/forum/showthread.php?t=142899 and many other threads in the duratec lounge, including awesome how-tos. There is a wealth of info on this site, don't be afraid to use the search button.. most likely anything you wanna know has been discussed to death.
No problem that's what this community is for, and trust me you'll catch on with everything. Just make sure you search stuff first because some members get real pissy about it, but generally most people are here to help, good luck bro
Yeah if your on a really small budget get some cheap parts, focus sport CAI and an OBX header, most peeps say exhausts are worthless unless your running a turbo so in reality you can wait on that and buy a tune for your car.
Colorado? In addition to altitude you probably get a lot of snow and crap on the roads in the winter months. That's where a SRI has it over a CAI. Something like a Steeda places the air filter up high enough to avoid most/all the splashing. Plus....if you do have to clean the filter in the winter, it's a relatively easy job to get to it. I worry a lot about hydro-lock, since I've seen the results......like a rod sticking through the side of a block. Try getting your dealer to warranty that when it gets towed to the shop with a CAI attached. [mecry]
the best mods to make are the ones that benefit you the most... whether you are going for looks or performance... it's up to you.. what i would do first might be diff than what you would want, etc etc.. most people say to go for the intake, then exhaust, then header, suspension, wheels, etc
I feel for you up in CO. I lived in the Denver metro for a few years. When I moved back down to sea level, the 16V Corolla I had woke up big time. Do what you can to get what oxygen you have in and out of your motor as efficiently as possible. Intake and exhaust for sure.