Again, I'd say hold off on the exhaust. You really will only see a small improvement from getting one.
Check out the clean/polishing article on the front page of the website (SH). If you don't plan on turboing your car, then go with a header. I like Stainless Steel. I've heard good things about the Greddy brand ones, the DC's are okay too. I'm going to look more into the Kamikaze brand ones since they look awesome as well. For the B18B1 (like mine...'96 RS) go with a 4-2-1.
For your first mods here is the list:
1.) CAI (Check out the Comptech Icebox too)
2.) Header (if you aren't going turbo) get 4-2-1 and try to get Stainless Steel (it will last much longer, and the discoloration really isn't that big of a deal). Also, if you feel you are able, go ahead about clean out the exhaust ports (we aren't talking a big Port and Polish, but every bit helps).
3.) Suspension. Strut-tower bars (front and rear, I bought the Tanabe's from OptAuto since the price was right, and they are adjustable!). Get a TypeR sway bar if you feel you can do the work (do a search for this). And maybe springs/shocks
Once you cover the bolts-ons you have to choose your path. Do you want NA, or Forced Induction? If you chose to get a header, then you probably wanted to go NA (or a supercharger). The superchargers made for the B18B1 suck, so pass on them

For NA, get new cams (crower) and maybe some TypeR pistons. The Skunk2 IM would be a long way off after that.
Hope that helps as your guide
