Not too familiar with what's available for MB, but I have a Chevrolet performance background. Here's my $.02:
(1) Nitrous: Good--easy to install, moderate to extreme increases in HP, high HP/$$ ratio, can stay emmissions legal, no impact on economy. Bad--only runs in short bursts (for drag racing or stoplight street racing), WILL blow your engine if additional fuel is not provided via a fueler unit.
(2) Supercharger: This is actually 2 categories: centrifugal and roots style. Centrifugal are much more popular as add on kits cause they have very little affect on driveability as long as you "stay out of it". There are multiple Roots or screw types out there as OEM installations due to their silence and their low RPM boost. Good--power always available (only at higher RPM's for centrifugal units), very high HP available with compression ratio changes, cool whining sound coming from your car (you can buy silent units now), amount of boost easily controllable with pulley changes, can remain emissions legal (or at least pass a sniffer test). Bad--kits can be expensive, centrifugal units have been known to fail spectacularly (mostly by people who run them too fast), WILL blow your engine up without providing additional fuel using a fueler unit, timing retard unit also required for higher boost levels, $$$.
(3) Heads/cam: You probably need head porting work, a free flow exhaust and intake, along with a more agressive camshaft if you are to see any benefit. A cam alone that is agressive enough to provide a significant HP boost will kill your low end torque. Good--significant HP boost possible, high rev "fun" power, works well with displacement increases, no problems with leaning/engine blowups. Bad--loss of low end HP if cam is not selected as a system along with exhaust/intake/head changes. Can't pass emissions with very agressive cam, doesn't idle well, no fun to drive in town (low RPM), going to require a fuel curve recalibration if very agressive.
(4) Turbo: Turbo's are cool because boost is available at very low RPM's (so long as you get past the lag). Turbo's are uncool because they have a significant amount of plumbing necessary over and above the technical challenges required for a centrifucgal supercharger.
Here's the route I'd take to more performance:
(1) free flow exhaust/cold air intake--worth as much as 10 - 20 HP. These are FREE HP as well, so your mileage will go up and these changes don't affect emissions.
(2) Nitrous if your interested in stoplight action. Most nitrous systems are wired for full throttle only, so you can drive your car normally until you want it. But, since their wired for full throttle, you have your normal car until you floor it and then you have 2X your normal car. I'm not sure this improves going around the twisties very much.
(3) Low boost supercharger. I'd go with Powerdyne (http://www.powerdyne.com/) because they are belt driven (silent) and therefore does not require you to tap into your engine's oiling system.
(4) High boost supercharger. Units like Vortech and ATI procharger are much more powerful than the Procharger but also more of a hastle. Both these companies, however, have more vareity of choices and cater to home made systems.
(5) Heads/cam/displacement changes. More dollars.
(6) Turbo. It can be done. Check it out: http://www.xmission.com/~dempsey/minivan/
Just my 2 cents.