The sway bars are a very good start in terms of
mods. It's probably the biggest change to the car in terms of handling performance you can do in a single mod.
From what I have read, unless you plan to do a tune on your car, cold air intakes serve no purpose.
Personally I haven't seen a reason to change the links but maybe someone else can chime in on their benefit.
A lot of people have upgraded the coils on the car and I'm planning to get the Eibach coils done as well. They do improve handling and lower the car slightly improving its stance.