Performance Air Filters are an excellent first time performance modification when you want to tune your car.  Basic panel filters from K+N, Pipercross and BMC simpley replace the original paper filter with a high flow filter that is the same shape and size but is designed to allow more air into the engine to increase power while still cleaning the air that passes through. 

The most popular performance air filter is an induction kit that generally replaces the cars original airbox with a tailored cone filter.  If space allows these induction kits will have a separate cold air feed from the front of the vehicle.  For the ultimate in performance a closed airbox with a performafilter inside sheilded from under bonnet heat sources is the way to go.  Pipercross Viper, Venom, ITG Maxogen, K+N Apollo and Typhoon are closed air intake systems which will produce noticable power gains.