In order of preference (and in order of purchasing):
Hard drive (Got me a 1.4GB 2.5" Hitachi from Wizard all those years ago!)
Blizzard 1260/50 +32MB (Now at 66MHz and 64MB for 2 years solid. Most stupendous speed increase ever, and the ability to play MP3s at full quality was/is fantastic, though only with older versions of SongPlayer)
CD-ROM & CD-RW... Boy, what a difference. All those cover CDs, Mmmm...
Mediator + Voodoo3 (Even though it's been finnecky and doesn't give nearly the performance it's capable of) Was the single biggest increase in speed since the 060
3.1 ROMs and OS3.9, for all that good, system-legal hacking :-)
After that, the various things I love in their own little way: Catweasel, HyperCom 3+, internal scandoubler (all bought), and LCD screen for the tower, clockport splitter and keyboard adaptor (all home-made).
Mmm... Amiga... You don't get that kinda feeling for PC hardware, do you??