I would recommend coilovers because your main gripe seems to be a soft car. Search coilovers on here for some more info, I recommend PIC performance.
If that's out of your budget, go with sway bars front and rear instead. They make the car flat through the corners without making it rough going straight.
Read the first part of the sway bar information sticky to get the idea of what you're doing. If you have any questions about anything else, read the entire thread.
In short though, if you're from Europe, the car should be ready to get an OEM front sway bar. If you're from the USA, it may or may not have come with a front sway bar. That's where the information in the swaybar thread comes in.
As for the rear, I recommend an ASR brace, adjustable endlinks, and either an OEM 22 or 23mm bar.
Still not happy? Get a hard rubber bushing kit from Hard Race or PIC, or replace individual bushings with spherical bearings. After that would be chassis bracing.