Man, there's a long laundry list.  The main thing to know is that as soon as you start making power, it will start to break if it's all stock.

different ppl will have different priorities but if it was me i'd start with the junk OEM airbox.  Get you an airbox eliminator kit.  Not sure if SBLT500 on here still sells but i have a different type that i made that was a copy of another members design.  I just beefed it up for **** riding.  -Jumping, dunes, etc.  Also, this will allow you to run a larger airfilter.  500s need to breathe!

Do simple tuning.  Set your toe, slide height, and fine tune the carb.  Speaking of!

Get a decent carb!  Get a mikuni 43b10+ carb and have it bored or a lectron.  I personally have never liked the keihn carbs.

Get a big boy pipe.   This is one of the cheapest best mods you can do.  HP to $$ ratio wise.  There are lots available now.  Q, HPR, DCS, AEEN (large pipe).

Check the main bearings.  500s are known for having main bearing issues.  grab the flywheel and try to move it up and down.  should be zero play.

While you're done there, go ahead and remove the flywheel and send it out to someone that can weld it up.  100% of all 500s that belonged to my friends that skipped the flywheel mod have had their flywheels explode on them.

Get some decent reeds.   Vforce 2 or 3s are my favorite.  I ran the pyramids and quickly went to the V2s.  I think you can only get 3s now.

You could do the camber mod if you're running stock a-arms.

This could go on and on.  there are special things you need to do to 87 models only.  I'm assuming you have an 88+.  set your squish, Oring the head, machine for inserts for the crank bearings, head studs, reshaping the dome, piston mods, back cutting the trans, gusseting the frame, Welding up the cylinder ears, etc, etc.  I'm sure im forgetting some things.  Anyone feel free to jump on and let us know.