Replace the balancer with BHJ. Kind of expensive, but does save you in the long run.
New down tubes, new cats, and new exhaust all the way back.
late model (94/95) blower
cam
heads
maybe something in between.
I mostly agree with this, but a 255 lph fuel pump should be added before heads and cam. I'm still on the stock balancer though.
But I am hoping to pick up a BHJ very soon! Exhaust is extremely important. Hell even if you don't plan to really mod your car, you should definitely get a higher-flow exhaust to help preserve your head gaskets!
If you have a 5-speed car gears are an excellent idea. 3.08/3.27 are generally the most favored options regardless of the car being '89-'93 or '94/'95, despite the similarity of a 3.55 on a late M5R2 with a 3.27 on an early M5R2. I think 3.08 on a late M5R2 is a bad idea, but can't say from experience, it's just based on how VASTLY wide the 2.73 is.
My car had some mild intake mods and those don't really seem to do anything pre-cam/heads. OD pulley on a '94/'95 blower with a stock fuel pump is a waste! They add low torque but they will make your car very slow up top.
Fuel pumps are a must if you ask me. Even with a fuel pump, I would just stick with the stock pulley, the earlier stock pulley, or a 5% OD until you have better gear for cooling. The 10% on a non-ported '94/'95 blower just makes gobs of extra heat. Oh and belt slippage! Dear god the belt slippage! You may as well have a turbo because you will be looking at that kind of boost lag, and I am not exaggerating.
I am not a fan of IC fans, they can be cheap but they usually add more weight than they are worth imo and if you are doing much more than idling around town, they don't do anything but help dissipate heat between runs at the track. Just use ice!
Underdrive pulleys are questionable. They aren't really expensive but they also don't do a whole lot. They are supposedly high up there on the dollar/hp chart, but I don't own a set myself so I can't say much with validity.
Snow Performance chemical intercooler is a good place to put your money is it not? I don't have one yet but I've been really wanting one for over a year now.
A wet nitrous kit is always appealing. 50-75 hp? I don't generally like nitrous myself but I won't say it isn't a good option for going fast faster.