I'd agree with the adjustable wastegate and definitely a fuel pressure regulator.
I'd be leery of buying an alchy kit right away and pumping up the boost unless you are already experienced with it. Of course, if you have no access to higher octane you'll want to get alchy right away. Just be careful before you start turning the wick up. When you get the alchy, you'll need a new chip, of course, and should look at getting bigger injectors too to be safe.
Luckily I have some gas stations that sell 100 octane nearby so I didn't go the alchy route. Alchy is cheaper in the long run though.
Definitely make sure everything is up to par before upping the boost with alchy or whatever.
You may want to look at downpipe, exhaust, sticky tires, among other things besides the cold air kit, althought its a good choice too.