Well, here's a really good thread
to start with. I'd also suggest looking through my upgrade thread
I made last year. They've both got really good information on bolt ons and what to expect out of them.
This post in particular should be helpful.
As for the CAI, K&N boasts almost 7HP increase, but even if that's true, it's not enough to notice an increase in acceleration. However, it's totally worth it just for the nice sound it makes. Also, if you do plan on doing more bolt ons, having a high flow intake will really help.
For the suspension, the FE5 (Cobalt SS Turbocharged) shocks and struts are actually cheaper than the base model FE3 suspension, so if it's time to service your shocks and struts (around every 50000 miles or so), then it might be worth it to pick up those and some new springs. The FE5 springs would be a decent match, but you might also consider SSC or CM springs. SSC can be found at ZZPerformance.com and canuckmotorsports.com has the CM springs. If you do get FE5 shocks and struts, be sure to get either the FE5 springs, or some decent quality lowering springs. From what I've heard, the stock base model springs tend to wear the FE5 shocks and struts pretty quickly.
EDIT: Almost forgot about the wheels. Some of the Cobalt LT's had 16 inch alloy wheels with a 4 lug pattern. However, any aftermarket wheels with a 4x100 lug pattern and the same offset (I don't know the number for this one. Maybe MP81, PJ, or RRob could help out?) would work. Just make sure that whatever tires you get are relatively close to stock size. You can use this website
to compare the size of your stock tires (probably 195/65R15) to new tires.
Parthros Engine Upgrade List Summary
Tire Size Calculator