I/H/E. Intake, Headers, Exhaust... the three most popular "starter" mods you can do. Will run you around a grand, depending on what brand and make you buy for each. I recommend AEM's Cold Air Intake as the first mod you make, and so will around a thousand other Civic'ers on this board
As for headers and exhaust, I haven't really gotten into those yet myself... So I won't say anything about them.