What's your budget? Turbo, intercooler, exhaust, intake. That's as good as it gets. They ran a Z20E (fuel injected) in the 200SX so you'll find aftermarket manifolds might bolt up. If your Z20 is tired, find an import 200SX motor and see if you can splice the harnesses together, then get into the aforementioned.
Supercheap Auto cold air intakes and pod filters and all that crap are a big waste of time.