intakes are only as good as the filter it is attached to (and vice versa) your intake shoudl be smooth and have a constant diameter, your filter shoudl be able to increase flow over the factory one AND keep the intake air clean (particulates).
as for plugs, you'll have to improve your spark strength (using MSD etc) otherwise ther is no point on adding plugs (better to get the old ones cleaned and gapped properly).
headers are a great way of freeing up power since most factory ones are 4-1 while upgraded ones are 4-2-1 (pipe joins)
Fitting an exhaust (or muffler) will decrease back pressure on your engine which will allow it ro rev up quicker but at the same time you shoudl note that you'll need backpressure to have torque. by releasiung the backpressure you'll raise the peak power output to higher up on the rev range but not necessarily raise the power output.
to get noticeable power you shoudl fit a filter, MSD, plugs intake, exhaust & headers, which will be expensive.
if you want a turbo, that is a while different ball gamed and for that you'll have to lower your compressino ratio and have alot of modifications done to your exhuast & intake manifold. Turbocharging is hard to explain but once you know the basics it's pretty easy. there is already a thread:
https://www.pakwheels.com/forumreply_az_TopicID!4855~ForumID!27~pw.html
let me know if you need any further info.