Welcome! Four colder NGK spark plugs, an Accessport, and an intercooler are the three best bang for your buck mods. I'd grab the NGK spark plugs before you flash a new tune. OEM plugs have a hot heat range. Aftermarket radiators are very popular here, but you should be fine with a cold climate.
For this platform, an aftermarket downpipe does not do anything on the stock turbo. So, if you want a different sound just get a catback of your choice and keep the emissions equipment intact. The OEM intake is actually really good, draws cold air from the front bumper. However, a lot of people have replaced the "crossover" pipe with a larger diameter unit. It necks down to like 2"; it was the major restriction in the OEM intake when I was tested it. If you want intake sounds from the stock airbox on the cheap, drill holes in the bottom of it. Replacing the filter element is good as well.
If I was doing a budget baller setup from the beginning? As an example with the parts on the market today, I'd do:
Hybrid turboswap + Turbosmart 14 psi Wastegate & Turbosmart BOV of choice, a
turbo inlet pipe, intake
crossover pipe, some
intercooler, x4 NGK spark plugs, and an Accessport from someone. That would cost about $3000 freedom dollars and net you around +100 HP, +100 TQ on the dyno. Much more gains available if you do the exhaust or put a CPE 3" or Mishimoto 3" full intake that feeds from the OEM cold air location.
OEM fueling is limited to around 310-320 wheel HP, FYI. I wouldn't do anything past that; it gets really expensive, very quickly. OEM pistons get sketchy past around 365 wheel HP (so above 400 crank HP).