what should i get first?

Coil-overs: adjustable springs so you can change ride height, and still have the same spring rate

shocks: dampers that make the suspension travel firmer/softer if adjustable, if not, then they just dampen the bumps (bound and rebound)

strut bars: give rigidity between the strut/shock towers so when turning, your strut/shock towers don't move. They help initial turn in bite.

sway bars: help keep your car from leaning in a turn. They also keep your outside tire planted on the ground a little better