K&N's a waste of money (cold air does add more horses Steve), the colder the air going into your motor the more oxygen, which means the more fuel needed, which means more power (it's proven on every possible motor used in a car).
Easiest thing to do is to put a cone filter in place of the airbox, or use dryer hose and go from that to the front bumper and put the filter down there. Make sure it's not too low or you might hydro-lock and blow your motor.
Bore yout your own throttle body with some grinding stones, a drill, and a flap wheel to finish it up.
http://www.qksltwo.com/tb.html Yes, it's for Saturns, no, it's not brand specific.
Hack off your muffler. If you've got a 4 banger, it will sound like ass, but you'll get power out of it.