As for SKS modifications I would disagree with VanIsle - There as some worthwhile mod's to be done as along as you realize that the SKS will never be a sharpshooter rifle and if your SKS is not of museum quality (which mine is not)
First off, the stock must go, I find it too small and the balance needs some work, I went for a synthetic stock - Monte Carlo style from Butler Creek, it definitely improved the handling and balance of the rifle, plus it looks great.
Next , if you are not scoping it, take a look at replacing the icon sights, there are definitively improvements to be had here. The Williams Gun Sight Company make a nice set of fiber-optic front and rear replacements. There are various reviews on the web to take a look at.
As for scoping, now that is getting a bit tricky - I guess it depends and what your expectations are. There are 2 choices to be made, replace the rear sights with a mount from Scout, or look to have a receiver drill and tap mount from Choate, you will also need to look at a shell deflector if the scope hangs over the action. You should stay away from the receiver cover and gas tube mounts as they have proven unreliable over the long term. I have a Scout mount, but finding a decent LER or ERR scope was the biggest issue. I settled on a Bushnell 2-6x32 pistol scope, but also look at Nikon, Burris and Leupold as they make a few LER/ERR scopes.
Also look at some internal modifications, like triggers, bolts, firing pins and spring replacements, there are a tonne of stuff out there because of some US requirement that foreign made rifles now require 12 (it think) US made parts. SKSman web site is a look place to look for those items.
There are always cost vs benefits arguments to be made when modifying a low cost milsurp rifle like the SKS, but for me, mod'ing is half the fun. (if it was not popular, there would not be so many after-market parts for them - right?)
Enjoy your rifle!
/cl