First off, welcome to the forum. Glad to have you join all of us.
Second, far as performace goes, you can go from basic bolt ons to a twin charged engine. Its based upon how much you are looking at dropping into it. I've been working on 4 bangers since 1998, so I have some experience (personal and others) in this field. I will warn you, it is addicting and costly, but if you do it right, it will pay itself off nicely.
Here is what I would recommend to someone at building up their cobalt LS for under $5k build:
1. Sit down and piece together from what others in here are doing in performance, lots of information and knowledgeable people who know these cars inside and out. Cost: Free
2. Wheels/Tires. I am not talking RIMS or 20"s, but most of us slap in 17"s for a reason. Lightweight, improved cornering and acceleration. From here, you can see what #3 options based upon other's profiles and personal claims. Cost: $600-900 average
3. Suspension. This is what gives you cornering, a little more aerodynamics, and center of gravity. Do not slam your car to the ground, that defeats the purpose of lowering the car. That is what ricers do and I want to steer you away from that crowd. Most here for the LS run the FE5 (cobalt SS/Turbocharged) OEM struts/shocks with between a 1.4-2.0" drop. You want to see the improvement in handling, not scraping your tires against your fender well area. Price: $450-600 average
4. Engine performance. Here is where it gets a little tricky. Most people will suggest an intake as your first bolt on in which I can agree with for better fuel efficiency. This first bolt on piece can be done at home since its just simple screws and 10mm socket. You will notice a gain in the higher RPM band and notice a quicker throttle response. Although you think from the sound your gaining great Horsepower, its not. All its doing is freeing up the engine to breathe in better into the intake valves. Cost: $250 average
5. Brakes. If your planning on getting serious about adding some serious Horsepower and torque, you need efficient braking to stop you. Like having a 600 horsepower 550lbs torque toyota supra and you are still running a stock brake system. Thats a big no-go. I wouldnt invest in stainless brake lines unless you are converting your daily car into a full on race car. The reason why they put stainelss brake lines is for DOT 5 brake fluid race cars. They just advertise it like crazy to make it seem like its a huge advantage vs your stock brake lines with the same exact poly material inside of it to send the brake fluid. I am more of talking about brake rotors and pads will make a difference. I personally, for a street driven car, suggest the StopTech slotted rotors, the bad side, you cannot turn the rotors during a brake service. Their AAMCO brake lathe cannot cut evenly when it has either slots or slits in it. For pads, go with non-ceramic pads, they work great for cars under 350hp and hold their name. Got carried away there, sorry :( Cost: $300-400 for 2 fronts w/pads
6. Transmission. If your using a stock clutch and want to send out a lot of power through a factory clutch, your going to destroy it very quickly. For under 250hp goal, stick with a stage 2 or stage 1 (n/a) clutch kit. You will notice more grab on each gear and quicker response to engage your engine's power. If your using an automatic, I would go with the B&M trick shift kit. Its electronic and way too simple to install. It adjusts your shift points quicker by enhancing the TCM (Transmission Control Module). Cost: Varies
7. Engine build. This is where it gets even more tricky. If you want under 200hp n/a LS, then stick with intake, exhaust, header, downpipe, and tune. That will get your close to crank HP without breaking your bank, but if you plan on passing that, n/a or supercharged, your gonna need to beef up your internals first. I would go with the valvetrain first. That way, you can decide for how strong you want the compression later on. ZZP offers a solid valvetrain kit and I am pretty sure you flash them some money, then they can custom build you one for what your goals are. If your planning on a supercharger, you have to ensure that your valves are bigger than OEM 2.2L has for its being forced through there. You can also upgrade your camshaft, this is where racing comes into play. A stage 1 is a "somewhat" upgrade from OEM, has a higher lobe and valve lift. Comp Cams makes some decent ones and decently priced. So its up to you on what your goal is on this LS.
There are more, but I am taking up this chat space. A lot of experienced people in here will never steer you wrong and have more knowledge than your typical B Tech at a General Motors Dealership. Hope this is useful