The first question you need to ask is what direction do I want to go? Turbo, All Motor, Nitrous, Turbo w/ nitrous, etc. What level do you want to take the car to. Do you want to maintain streetability? Do you want balls out power and damn streetability?
Once that question is answered, that narrows down the field of what parts you want to run, that wont be detrimental down the road, and also will let you select parts that you wont have to remove down the road once you get further into your build.
Most people think all motor is the cheapest way to build a neon, which, to a point is true. For bolt ons etc, it is by far the cheapest up front, however as time goes on and you want more and more power, you can invest enough to buy a second, and in some cases a third car. This IS however the best option for the daily driver/strip/autox car, as its much easier to stage upgrades, and keep power output to a manageable level.
The big things to focus on in an all motor buildup are:
Compression. You will need compression to be competitive. Anything from a DOHC bottom end which will put you around 10.2:1 i believe, to custom pistons as high as 13.5:1 or higher depending on how much you want to spend and if you plan on keeping it on the street or not.
Cam. The cam choices we have are severely limited due to the construction of our heads. Instead of the traditional cam cap setup, we have solid cam journals machined into the bulkheads on the head, and they are pretty restrictive on cam lobe sizing. There are ways around this, such as lowered lobe centers and lash caps which is used effectively on only the largest SOHC cam(crane 15, haven't heard of the official designation for it, but its .400/.400 lift, and 232duration@.050 lift on both sides). Some other methods have been tried with limited results, and the results usually were not real reliable for street cars.
Along with the cam, a good port and polish job is essential. There are many places to get this done at, Howell Automotive(www.howellautomotive.com), Eddie Fierro(www.fierroracing.com), Blackdog Motorsports(www.blackdogmotorsports.com), all do very good work. I personally prefer Howell Automotive's work, then Eddie Fierro, but that is more due to a personal thing with one of the guys at Blackdog, and not an indication of their work when it comes to head work, as their headwork is very high quality. The most power will be found from a port and polished Magnum Cylinder head, which bone stock flows as much air as a race ported non magnum SOHC head.
Now your probably thinking great, the head is flowing like the Suez Canal, how do i get all that air to the head. The Intake side leaves us SOHC guys with a few options. The Magnum intake manfiold(01+ Magnum D4RE Motor) is a very good active intake, using a dual runner design making for a very broad and useable powerband. There are a few variations of this manifold, available through Fast Fabrications(www.fastfabrications.com) which have shown impressive gains, although dyno charts are still on the way waiting to be posted, the other option is the Indy Intake manifold, which is also an awsome piece, netting gains of 25hp on a dohc with minimal bolt ons(intake, header, computer) and around 19 lb ft of torque on the same DOHC. SOHC gains are similar and also as impressive.
The other option, which is the most expensive, would be Individual Throttle Bodies, which can run anywhere from 800-1500 depending on how it is set up, and will net the most power, unless you have a very application specific plenum manifold built, and when I say specific, i mean purpose built specifically for your car, based on flow from your head, compression, fuel maps etc. Either of these options will be very expensive, and very worth the power you will see from them. These options are also, NOT, and I cannot emphasize this enough, NOT any where close to street friendly. They can be driven on the street, but it is not for the faint of heart. At this stage on the intake side, your throttle is an on/off switch.
The exhaust side is just as critical as the intake, if not more so. There is alot of controversy over which header is the best, so let me put it like this.
For maximum power, a stepped longtube design will net the most gains. Collectors will be something to be discussed with the person building the header if it is a custom header as the collector is critical to header performance. For off the shelf units, Pacesetter and Mopar both have very good short tube designs, with AF/x, Blackdog and Kirk all making longtube designs. The Kirk is the most mild of the long tubes, using the smallest primaries and the smallest outlet of the three, netting impressive gains over stock, but not the maximum gains to be had. I am planning on doing a BD/Kirk/AF/x header comparison relatively soon so the gains will be apparent with those being the only change.
The rest of the exhaust is pretty straight forward, 2.5" piping has proven to be the best overall for the 2.0L platform, with a straight through muffler and solid 2.5" catalytic converter. 3" is simply too much for a naturally aspirated motor, until you are pushing the limits of what the engine is capable of producing.
Turbo Setups will benefit from porting and polishing as well, however the big gains with a turbo are going to be seen in the turbo itself, and in building a motor to handle the increased cylinder pressures associated with turbocharged motors. Stock compression or less is the norm, with increased compression being possible, but requiring a bit more than most people are willing to spend.
Cam selection again is very important, as the right cam cut turbo lag in half, and the wrong cam can double it, or worse. Another big thing to think about is fuel. Too much fuel, while still detrimental, is much more desireable than a lack of fuel. On a turbo motor, a lack of fuel means broken parts, too much fuel, means a puddle on the ground under the tail pipe. The Hahn Racecraft turbo kits are very complete, and the Chill Factory(www.chillfactory.us) is releasing upgrade parts for the HRC kits at a surprisingly fast rate. Having seen a few of these parts in person, they are top of the line parts.
Ignition will be a concern as you will want to retard timing with a turbo kit, to prevent detonation under boost. The Crane Hi6-Di2 is a very solid unit, as is the MSD DIS2. The crane IMO is a stronger unit, but it is a bit more expensive.
The exhaust side of a turbo can make worlds of difference in how well the turbo works. A large downpipe, such as the chill factory 3" piece, makes for a huge gain, and a complete 3" exhaust should be considered standard equipment for a turbo car. The harder the turbo has to work to overcome exhaust backpressure, the less boost you have available and the less power you have. Too much backpressure will also cause the air in the turbine section of the turbo to cavitate, causing all kinds of nasty things, compressor surge being the worst as this spikes boost and causes internal engine components to break, lack of boost would be the other end of the spectrum where you just get minimal boost out of the turbo. This is also detrimental to the turbo as the bearings take alot of abuse from cavitation.
Watercooling the turbocharger is another way to get a descent ammount of power, but more importantly reliability out of the unit. This simply takes the engines cooling system and routes it to the turbo charger for increased cooling, extending teh life of the turbo. A turbo timer is also something that should be considered mandatory as when you shut the car down, this leaves the engine running to allow the turbo to spin down, and allows the turbo to cool off a bit before it shuts down.
Boost controllers are nice to have, I prefer mechanical units, with the Greddy ProfecB being the only electronic boost controller I have not had any problems with on the electronic side. Mechanical will always be cheaper, and generally speaking more reliable as well.
Nitrous acts as an air quality aid basically. It increases the oxygen content of the ambient air, allowing for more heat to be generated and as a result, more power. Nitrous however is not a magiic bottle that will make you run 10's. It deserves the highest ammount of respect out of anything you can do to your car because an improper nitrous setup can literally destroy your engine in a matter of seconds. You NEED alot of fuel being injected with nitrous for it to function properly.
All in all, nitrous does have a bad reputation for little reason. Set up properly nitrous will be just as safe as any other modification you make, I can not stress enough, that using nitrous on the street is suicide. It is for use in a controlled environment ONLY and is not something to be taken lightly. (sorry, had a major nitrous malfunction damn near kill me at the strip, i'm a little anal about the responsible side of it hehe)
Things to consider with nitrous are compression. you can run more timing and less compression, less timing and less compression, or a small shot with more compression and more timing. There are variations of this, and type of system will have a large effect in how you run it. I believe in one of the other lounges there is a very good nitrous FAQ which should answer most of your questions on it.
Other things to consider are items like purge kits, bottle heaters and a nitrous pressure gauge. These will let you keep your bottle pressure consistent and the lines full of nitrous which will increase your consistency. Along those lines, a nitrous controller will also be a huge help in keeping consistenty, but a controller is an expensive piece of hardware.