I'd just suggest starting with 'better' before you get to 'faster'. Definitely replace your tires first. If you live in a bad weather state, get a second set of wheels and a set of winter tires. The stock ruber is poop if you drive reasonably hard. Then do some suspension stuff. Eibachs and KYB AGXs are a good place to start. We all agree to disagree on what the best exhaust is, but they all give you about the same power, so it's just a matter of taste in looks and sound. Avoid intakes other than Ganzflow, Cobb, and Gravel sport, they don't do much. Even those are minimal until you get new cams... but I'm getting ahead of myself here. Start with tires, springs, a rear anti-roll bar, and either headers or cat-back. Plenty more you can do, but that's a good start towards having a fast car.

 

i also drive an 02 rs.
i agree with ban suvs. the first area i focused on was the suspension. i purchased the eibach prokit springs and a cusco adjustable rear sway bar. although i realize now i should have bought tires first!! they are clearly the weakest part of my setup. (saving up for some rotas and rubber now for the spring!). From there i picked up the cobb intake. and most recently added gfb pulleys and scoobysport axleback exhaust. Definately use the board to your advantage and search through the posts from the beginning. There is a lot of usefull information already posted. If you have any questions dont heasitate to ask.