I agree, sway bars are a GREAT cost effective mod. Personally though, I feel that you don't get the best performance out of sway bars unless you also install sway bar mounts and endlinks. Why have stiffer sway bars if the mounts and endlinks are sloppy?
The reasons I suggest an intake are because it satisfies the urge to hear more turbo and bypass valve action, plus it makes power more available throughout the powerband. If you choose an off the shelf tune, I would not recommend the intake, but if you are already spending the money on a protune, you might as well add the intake and get the most out of the tune.