1st congrats on getting your FX. I'll start by giving you a fair warning: Be very careful, this is an incredibly addictive hobby that sucks massive amounts of cash!
My recommendation: Prioritize your options since there are so many mods you can do to your FX. 1st determine if you're more into aesthetics (or audio) over performance (or handling) and vice versa.
$ = $1-250
$$ = $250-500
$$$ = $500-750
$$$$ = $750-1000
$$$$$ = $1000 & up
$$$$$$ = maybe you should consider buying a real sports car as a second car to fill your speed needs instead.
Almost all mods are (here's a new word for you

DIY-able. Here's a list in the order I would do them:
Straight line performance:
1) Cold Air Intake/ Air Filter (Stillen, JWT, K&N) - $/$$ (DIY)
2) Z tube or equivalent (UR CF or Alum tube) - $ (DIY)
3) Plenum or Plenum Spacer (Crawford, Kinetix, Motordyne) - $$ (DIY)
4) Pulley (UR) - $$ (DIY; Pro install recommended)
5) Exhaust (Stillen, Custom) - $$$ to $$$$$ (DIY; Pro install recommended)
6) Headers (Crawford, DC, OBX, etc...) - $$$ (Pro install recommended = $$$$)
7) Hi Flo Cats (Crawford, Kinetix, etc.) - $$ (DIY; Pro install recommended)
8 ) Custom tuned ECU - $$ (DIY)
Extreme: Forced induction (supercharger, custom turbo)- $$$$$$ (Dont even think about doing this yourself)
Handling:
1) Strut Tower Bar (Stillen) - $ (DIY)
2) Lowering Springs (Eibach) - $$ (also Aesthetic) (Pro install recommended = $$$)
3) Wheel Spacers (H&R) - $ (also Aesthetic) (DIY; Pro install recommended)
Extreme: Light weight forged wheels & perf tires - $$$$$ (also Aesthetic) (DIY)
Braking:
1) Cross drilled/Slotted rotors (stock size) - $$ (DIY; Pro install recommended)
2) Brake pad upgrade - $ (DIY)
3) SS braided brake lines - $ (DIY; Pro install recommended)
Extreme: Big Brake Kit - $$$$$ (DIY; Pro install recommended)
Aesthetic upgrades:
1) Window Tint - $ (Leave it to the professionals)
2) HID bulb upgrade - $ (DIY)
3) Fog bulb upgrade - $ (DIY)
4) Clear turns/driving light bulb upgrade - $ (DIY)
5) Interior bulb upgrade - $ (DIY)
6) Grill - $ to $$ (DIY)
Extreme: Custom paint / body kit :?
Audio:
1) Custom Sub/Amp - $$ to $$$$$ (DIY; pro install recommended)
2) Front/Rear speaker upgrade w/ Amp - $$ to $$$$$ (DIY; pro install recommended)
3) MP3 player or Sat or DVD add-on - $$ to $$$$$ (DIY; pro install recommended)
This is only breaking the surface of what you can do..... anything is possible as long as there's enough money to support it.
and yes, I am bored today.