hmm... upgrading an C20XE. First the little easy stuff.
lose the cat.
look at a larger manifold, there's a 'budget' one from sbd (150+vat) which makes a noticable difference.
remove the 'orange segment' from the main throttle plate.
clean the injectors
As far as air filters go, I'd avoid a cone style filter, and go for a panel filter and drilled airbox with some extra ducting.
There's plenty more gadgets available, powerboxes etc, but GM spent a lot of time and money (on cosworth) designing the XE, and the SFI box is there to improve midrange torque, if you remove/replace it, and you'll find it hard to regain that torque.
As the XE's cams are quite perky as standard, there's only a few profiles available which'll work with a standard induction system and no internal mods. courtney do a (by all accounts) good regrind, which is quite cheap. I think the std cams are 274 degree duration, the 285 profile cams need pocketed pistons.
if you want to get dirty, the best budget mods for an XE is rehone and new rings, as most 100k+ xe's won't be making as good compression as they could. new big end bearings will be good at the same time, and valves lapped etc. all that lot is not too hard, given enough time, an haynes manual, mig, and a few choice expletives, it should be managable for an enthusiast.
if you want to spend serious money..... than the world's your oyster, with turbos, superchargers, TB's all available for the XE.