what the first engine/exaust mods should I do? Options

[Speedy_Gonzales]

and where is the best place to buy parts?

[Spider77]

If your wanting brand name you'll pay alot more (Injen, WeaponR, etc..), as far as the CAI goes, your going to have to put on together yourself, or use the kit from an accord (cant remember the year). There are a metric buttload of posts about CAI's and SRI's...all you have to do is search.
The header for the GT, you can get one from ebay (surewin) and its a pretty easy install. Although by doing so you delete your primary cat and may throw CEL's, and as far as a cat back, your best bet is to go custom, get a resonator and a muffler, then take it to a exhaust shop and have them do the piping. There are threads on all of this, use the search and the stickies.