So far I have no performance modifications on my Sky. The car is plenty quick and perfoms great in the turns, so I'm not in any big hurry.
When I have a bit more disposable income I'll do cold air intake (because it's so easy) and eventually I'll do something with the exhaust (because the stock exhaust just sounds too vanilla for me)... I'll probably never do anything with the suspension or brakes because they are absolutely perfect... the car is extremely well balanced.
Cosmetically I swapped the stock antenna out for a stubby antenna. The radio reception sucks now, but not a big deal as I usually use either an iPod or CDs.
I also removed all the rear badging... not that I'm not a fan of Saturn... the red background just looks bad on the black car. After I've drilled out the red plastic background I'll be putting some black filler (probably vinyl) behind the logos and then I'll put the logos only back on the car... I've seen pictures of it done on other Sky's and I think it looks amazing.
This picture was taken the night I picked up my car... I was clearly pretty stoked.