On a modern fuel-injected naturally-aspirated engine, there are no easy upgrades that can yield a significant power upgrade. The best that most people can do is install a low-restriction air cleaner system (often called Cold Air Inlet, CAI). You can expect 0-1% peak power improvement with one of these, though they will be noisier than the original, and you will not feel the power improvement. Same with low-restriction exhaust systems.
For power improvements greater than 10% (something you can feel) you need high performance cams or a turbo – kit. These are not for beginners and will require the use of a programmable ECU to tune the engine after the mechanical changes.
For turbocharged engines, all you have to do to get a significant power increase is find a reputable aftermarket ECU or piggy-back ECU, or reprogrammed ECU. These change the engine calibration to allow the turbocharger to reach a higher boost limit, and also reprogram the spark advance. These always require the use of Premium fuel.