THanks Jetboys, I might try other cars, but I don't think there will be a huge difference.
I did do more testing with my Miata:
1 Stock Car..........................1:45.429....(after all testing, 1:43.885)
2 Race Med Tires..................1:38.884....0:06.545
5 SemiFly/3Clutch/Cshaft......1:44.545....0:00.884
6 Turbocharger1...................1:40.464....0:04.965
7 Stage 1 NA tune l..............1:41.441....0:03.988
10 Race Tranny....................1:44.992....0:00.437
add 200 ballast....................1:46.977....00:01.548
supercharger........................1:39.573....0:05.856
brakes..................................1:44.343....0:01.086
nitrous..................................1:41.108....0:04.321
semi race suspension...........01:44.295....0:01.134
brake controller 3/3.....................>1:46
brake controller 12/16.....................01:44.453....00.976
brake controller 24/1.....................01:43.854....0:01.575
The KITCHEN SINK................1:26.238....0:19.191
(super, susp, brakes, nitrous, race tires, brake ctrl, tranny, chip, fly/3clutch/shaft)
Note that I improved my stock time after the second set of tests (starting at supercharger) by 1.5s. Therefore, it must be considered that all the times could be improved by at least this much.
Do I have a conclusion? Not really, but my impressions are that the two best improvements are Tires and Power. It depends on the track/car, but tires and power will improve your times the most regardless of price. The big difference between tires and power is that you can't trade in on tires. You can, for the most part, keep adding on power. Therefore, if you are cash strapped, buy power first and save up for the best tires you can afford later.
For the Miata, the best power upgrade is the supercharger, it massively improves low end torque and makes the car faster in turns as well as straights.
After power and tires, the best improvement is weight reduction, but it is limited (can only take you so far) and gets expensive quickly.
Clutch/fly/shaft are good, they basically are power improvements.
Transmission is helpful, but really isn't that much. It helps get your power down at the right times and tuned for the track.
Suspension did not make the car much faster. Tho with much more tuning I'm sure it could have. Nevertheless, I'd say most of the improvements can be duplicated with better (more difficult to be sure) driving.
Brakes do not improve your times. (see Scaff's thread: GT4 and Brakes, p. 8. The 1s improvement above is almost certainly due to driver improvements)
Nitrous is not cheating (any more than any kind of tuning is cheating). It seems well enough balanced (and "realistic"). It's fine for hotlapping, but will not help you in a longer race. It's not better than the other power upgrades (turbo, super, NA tuning).