http://www.corvetteforum.com/
Start reading. It really depends on your budget. Also, be suspicious of the first response talking about a 600hp M3 with just a supercharger..no way any supercharger is bumping up the hp 300hp without supporting mods.
Anyway, Vararam makes a good cold air intake for our cars, you can do a set of Kooks or LG long tube headers and a PCM tune from one of the vendors on the I linked you to. That'll definitely get you started on performance upgrades...very easy, non-invasive upgrades.
IF you really want some power and have $$ to spend look into a Procharger kit at the site the first response posted. I have a P1-SC kit on my GTA and it's a blast to drive. I've driven a LS1 car with the same kit and it's so much fun.
Good luck!