Bavarian Autosport, BMP Designs, Dinan and AC Schnitzer, in that order, are the best to start with I think. They get more and more expensive as you go on, but they're all very popular and easy to research - excellent candidates for beginner modifications.
The latter two don't make much for E30s, anyway.
The best way to get the car faster is more rubber, less bounce, and less weight. Wider tires, taller rims, new suspension components, lighter drivetrain parts, and stuff like that would be the most cost-effective way to make the car more fun to drive. However, if you're looking stirctly for numbers, get engine internals. Or a new engine. Whichever.