Depends on the year of the car (what version of the VQ motor you have). Forced Induction has it's ups and downs. Mostly downs if you consider the amount spent. The nice thing is that the VQ motor responds well to some basic parts and a good solid tune. The UK cars now have the ability to use our Uprev Osiris software, and we have two Pro Tuners at this point to serve you.
Intake and exhaust parts are well known and a basic search on the forum will probably point out far more information than you ever wanted. I always recommend that a customer purchase an exhaust based on the sound because they have to live with it rather than the performance gains. Intake parts are a bit easier, the plenum spacer by any company will net you an increase in power, some are just easier to install. The various intake tubes have different sounds, but not too different so chose them based on cost vs. performance, or if you'd rather have polished aluminum tubes vs. plastic.
Cams, headers, etc can be a bit more difficult to choose, and are far more expensive to install. The VQ motor has good head design and responds well to either or both mods. When it comes to Cam choice, it makes a huge difference in the viability of it based on the motor itself. If you have a DE VQ then I personally say it's not worth the money spent. The DE uses small crank bearings, and isn't very reliable when used at anything over stock RPM limits. The Revup VQ is worth the expense of cams + install + tuning. It can handle the higher RPM and aftermarket cams can make power up there with no head work. The big thing with Cams and Headers is you absolutely will need a tune. The stock ecu settings aren't capable of understanding there is better flow, there is no MAF sensor in your exhaust. So in general the cars will run lean with headers or cams. Aftermarket Cams also gain a fair amount with proper adjustment, so some extra dyno tuning on that can net you as much as an additional 20whp above what the cams themselves make.
The good thing about these mods, is that if installed properly, and on a motor that is in good condition... With a solid tune the car shouldn't be any less reliable than when it came in. Don't push the RPM limit of the motor, enjoy the huge torque curve, and have fun in the car.