A lot of good advice above but start with a cobination of what HKSV6SLE and TRDMole said. First decide what it is you want to do with the car, what is your end goal. Then it is just how much money you are willing to spend. Do you just want it to have more puch on the street or do you want to build a 1/4 mile car? If you want to build a 1/4 mile car, my personal opinion is, buy another car... With the performance upgrades, you will only truly enjoy it AFTER you have done the suspension upgrades. I LOVE to drive my car.
In one of the mags, I think it was performance, I read an article that praised the Solara but mentioned the one weakness was the ability to breathe was restricted. Simply putting on a short-ram intake like Injen or RMM is a good start, CAI improves on that because you will get cool air instead of warm (but we're still waiting for one).
You can only take so much more air in without increasing the ability to exhaust that air. I think the cat is the bottleneck. Going to an aftermarket catback exhaust (Greddy or WS) gives you better air-flow (and sounds better too

). But if you want to eventually go with headers, do yourself a favor and spend the money up front for the full JP Performance exhaust, from headers to exhaust tip. It's a 3" system that will offer the most. Having a free flowing exhaust will allow you to take more advantage of the intake as well.
Next step will be the SuperCharger which will suck even more air. Now the intake and exhaust become even more important. Then if you want to improve that (like said before) smaller pully (I think 2.8", 6psi is limit) along with an air/fuel computer like Apexi S-AFCii or even better Split-Second. Enjoy reading the forum too. A lot of smart guys that have done it have posted good info about other parts as well.
Good luck and enjoy. -JoeB