It depends what kind of setup you are looking for. Obviously do the suspension. Go with wheels too.... 17's would be good for handling/top speed (stiffer sidewall) where as 16's would be better for your acceleration (softer sidewalls will allow flex, stiffer will just break loose). For engine you can do your standard header, high flow cat, straight pipe w/ maybe a fart can and couple that with an intake and a P&P head. In all honesty though you aren't going to be seeing a huge gain.
For 4-cylinder the best bet is to go FI. Go with a turbo since there is less parasystic loss associated with it. I wish I had gone that route when I had the chance. You can do forged internals for fairly cheap on a Honda... I know I had a Saturn and looked at your guys' stuff and wished ours was the same cost. You can put together a turbo system yourself with research and buying used parts for <$5k and it'll function better than most aftermarket systems as you can tailer it to how you want it to run. A good size would probably be a Super 60 turbo. It won't come in too early, but it won't die on the top end either. That would allow you to run 8psi (which is most likely safe... it was on a saturn 1.9) then if you got forged internals you could bump it up more. Not crazy mroe though or it will be in its inefficient range. You'll have to check out some compressor maps, but that's just a general "may work for you" setup.
Here was one of my projects. '95 Saturn SW2 with Powerdyne Supercharger.
JE Pistons (9.5:1 compression)
OBX Header into high flow cat then 2.5" exhaust and a fart can
16" Rota Subzero Bronze wheels (loved them and traded my last car in with them on it '04 Ion 2)
KYB G-2 Struts with H&R Sport Springs
I was doing an initial 500 mile breakin before hooking up the supercharger (didn't have it belted or plumbed in these pics... did have a belt on it for a little to hear it). The machine shop that did my bottom end messed my clearances up on the pistons-wall or the shop that planed the bottom of the head did it curved. The pistons hit the valves. I ended up peicing the motor and performance parts out and selling hte car to a buddy w/out an engine. I still kind of miss it. Just because of all the time I spent working on it. Loved that car for the short time I had it.