I want to start with the cheapest horsepower boosting changes I can make, where should I start?, Headers, CAI, exhaust...?

 

CAI Header, exhaust, Intake AIrfliter

 

You're on the right track, intake, header, and exhaust are just about everybody's first things. The very cheapest is a K&N filter- although it will only give you about 2 horsepower, depending on the application.

 

Getting good suspension, and good tires will do better than any of those mods.

But yeah, Intake, header, exhaust, hi flow cat, and continue from there.