To get the most "bang for your buck," most people will recommend an intake/exhaust combination. By no means is it cheap, but you're probably looking at $300-$350 for a reputable intake (please don't get one of those $50 ones off Ebay), and another $300 (steel) to $600+ (stainless steel) and whether you want a single or dual setup.
If you don't have the funds to upgrade the intake/exhaust at the same time, I would recommend the exhauast first, followed by the intake, and maybe even some headers if you're craving even more power after those first two mods. Once you start, you just can't stop...trust me.
2010 1LT RS, M6, Silver w/black stripes