What are the first mods I should do to my DSM?

Here is a list of items you should mod on your DSM.

FIrst and foremost. Make sure that your DSM is in top shape by ensuring all maintenance has been done and dealing with any other issues. If your tranny/driveline makes noise, adding 200 extra horsepower will probably break it.

Now that your DSM is ready to accept mods, here they are in order of importance.

Fuel Pump (Rewire+Upgrade)
Air Filter (High Flow) + Pipe
ECM Link (ECU Flashing) (go light version if you want to save some money right now)
Boost Controller
Injectors
Turbo + Spark Plugs (May require hotter plug to avoid blow out) Choose a turbo for your end goal.
   - 16G (250HP), 20G (300HP), 50TRIM (400-500HP), 60TRIM (500-600HP), etc etc.
3" Exhaust (turbo back)
Intercooler
Fuel Pressure Regulator
Cams

By now.. you should be breaking stuff. Upgrade each piece that breaks with something meant to take the punishment.  Don't replace a stock transmission on a 500HP talon with another stock transmission. Look at getting hardened transmission.

Have fun and enjoy your forever empty wallet!  This is only a suggestion. Take a look at forums and see what other people have done