Headers have gotten pretty cheap, but installation can be tricky because the bolts to the heads like to break. You might pick up 6-8HP,as the power band goes a little higher in the revs. Unfortunately, you'll lose a bit on the bottom end.
The best autocross mod I did to my car was a set of R compound tires. When they're hot, you can really throw the car into a turn without it coming around on you.
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