Altezza's don't look too horrible on a second gen DSM....
A cold air intake is more of a supporting mod - on it's own it doesn't do much, but it can help if you have other, more serious mods. A free flowing exhaust helps mostly on the top end, otherwise it just makes noise. If you find an exhaust that sounds good to you, then go for it, otherwise it's not very benificial.
Get some Eibach drop springs, stiff shocks and some tasteful wheels with good tires. That will improve the driveability more than anything mentioned so far (except nitrous)