I really haven't done too many mods to my car, but I know of a LOT that can be done on the cheap.
My car has only bump-adjustable racing shocks, K&N air filter, removed skip-shift "feature", and a new muffler. What I may do and still remain legal in my racing class is add a stiffer front swaybar and a full cat-back exhaust swapout to the mix.
What I'd do if I wasn't racing autox, would include a number of intake and exhaust mods. For example, just cutting the bottom of the airbox out gives you "free" ram-air straight from the underbody air dam into the air filter. Then cut out the stiffening ribs inside the airbox and block off the sound-deadening bellows in the intake. Replace the ribbed flex-hose between the throttle body and the airbox with a smooth flexible tube or hose. Dunno if the 2002 has it, but the EGR tube sticks into the intake about an inch, and more than half of that can be cut off, freeing up intake airflow.
The throttle body is heated by a short coolant loop that can be bypassed, reducing intake temperatures.
The exhaust is generally a bit restrictive, so a cat-back exhaust will get you real performance gains for not much cost. Get a bit more by going with headers and true dual exhaust, although that can cost a lot and lead to clearance problems if not done properly.
Lots of little stuff you can do to an LS1 F-body