If your going to be doing mods one at a time, I'd recommend doing an intake first.
I did an exhaust first, but that was because my exhaust was damaged and needed replacement. I added a Thermal Research and Development Cat-back exhaust. The biggest differences it made was in the sound of the car and in the looks. I really didn't feel that it added much power.
Next I added an AEM Cold Air Intake (CAI) and found that it also added a good sound. It added more power than the exhaust did, though having the exhaust already might have made it work better than it would have alone.
To be honest, I like the intake sound better than the exhaust sound. I like the sound of my exhaust, but the intake sound is just so cool

It's more of a growling noise than the exhaust and you can hear it sucking in air at times. It seemed to add some power all across the RPM range, and especially when VTEC kicked in. That's more than I can say for the exhaust. I think I was taken by the sound of the exhaust, but didn't notice much more power from it.
As far as intakes, there is several types and multiple manufacturers of each type.
- CAI, or Cold Air Intake is a pipe that goes from the throttle body down into the fender well, where it is terminated with a cone filter. They are supposed to add the most power since they are drawing in colder air from outside the engine compartment. They have the problem of being a potential issue with hydo-locking. That's where you suck water up through the intake and into the engine. Water doesn't compress when the piston tries to push it and ends up busting rods and all kinds of nasty stuff like that. My AEM CAI sits just a bit higher than the bottom of my bumper and is protected by the fender liner, so if I submerged the front end below the bumper edge and floored it I could suck up water. I'm not too concerned since it doesn't get that rainy in Indiana and I can keep a look out for huge puddles and either avoid them or coast through them. You can get a bypass valve for the AEM brand that is supposed to prevent this, but is also said to inhibit max performance, and costs an extra $40. Other brands such as Iceman CAI come with a removable lower tube so, in the rainy season, it can be converted to a short ram (see below) that can't cause hydrolock. It seems to me that CAIs are the most popular and that AEM is the most popular maker of them. Injen and Iceman are also said to be good.
- Short Ram intakes are similar to CAIs in construction, but are much shorter. They are a tube that goes from the throttle body maybe a foot or so and terminate under the hood with a cone filter. They are said to give more low end power than CAIs but not nearly as much in the upper end of the RPM range, where the power is most useful. They also have no way of hidrolocking... unless you drive into a lake and have water over the top of the hood

I believe that the sound is going to be similar, but others may have better insight to this... I've never heard a short ram. The problem with them is that they suck in air from under the hood where it's hotter. This yields less power since the air is less dense and has less oxygen to burn per volume. I think it can also cause the ECU to retard timing from the heat and reduce power that way. They would be easier to maintain. I have to take off my passenger side wheel and pull out the fender liner to get at my filter for cleaning. With a short ram the filter is right there under the hood for easy access. I don't think that the short ram offers much over stock other than the sound. This leads to my next thought.
- Drop-in filter with resonator removed; You can get a OEM sized filter from K&N that is supposed to flow better and is reusable. You can also remove a device in the fenderwell that air goes through before it get to the filter box - the resonator. This is removed for other intake upgrades as well. It is basically a big black plastic thing that looks like a tuba to me. Air passes through it and it causes the intake sound to be muffled in the stock car, so it's quieter and old people will buy the car. You can remove this so that air is just going from a hole in the bottom of the filter box to the filter. I've never heard one of these either but imagine that the sound would be more like the CAI or short ram than the stock sound. It would also be the cheapest... heck you could just remove the resonator and leave your present filter and it would be free. It would give some more power than stock too and would be a risk of hydrolocking.
As I mentioned I got a AEM CAI and would do so again. It cost me around $200 and honestly I think it was well worth it. I don't worry about the hydrolocking issue, which seems to be the only "drawback" to me. I have not heard of anyone trashing their car from it, though I bet someone has at some point. If I was not going to do that I think I'd go with a drop-in filter and remove the resonator. The short ram just seems pointless, unless I was doing it for show.