I've been an Elise owner since '05 and done more than a few modifications to the 05 and 06 cars. There are many tweaks to make the cars more user friendly that are not expensive. LED bulbs, trunk lights, foot well lights, and better headlights are all on that list. Convex outside mirrors are another good one. The passenger side mirror on US cars is already convex and a replacement for that side fits the driver side perfectly giving a wider field of view. An auto-dimming rear view mirror with Homelink is really good since headlights behind you will be right at the level of the rear window. Good tires, brake pads, and adjustable shocks are also good, particularly if you are going to take the car to the track (which I highly recommend).
Driver training at the track will open a new world of enjoyment of the car. Don't think you can come near the limits of the car on the street without doing something really stupid and very dangerous. The Elise does exactly what you ask it to do, but you do need to be careful what you ask for. Driver training will help you understand what to ask and when.
The number one mod though that will transform the car into a whole other dimension is the addition of a supercharger kit (BOE is the best). This is an expensive mod since to do it right requires changing the clutch, fuel pump, upgrading third and fourth gears, adding a limited slip diff, and adding bits to prevent fuel and oil starvation, but the difference in performance is fantastic.
O6 Elise Full Lotus Sport Ohlins Suspension Upgrade, VF Stage 2