Doing illusions gets you into doing theater...how to move onstage, what your character is like, what kind of music you use to enhance the presentation, and so on.
If you're serious about it, take some theater classes. While you're in the class, drop the magic and just learn. The acting skills will help you later in your magic. Also, learn the technical side of theater...lighting, set and costume design, makeup, etc. It all goes into a show.
For low-cost illusions you can build yourself, take a look at Andrew Mayne's stuff. http://www.weirdthings.com
Several build-it-yourself illusions that are rather effective.
If you have access to a laptop, I have a system that allows you to trigger music cues in Winamp. Go to http://members.tripod.com/remotelaptop
and read up on it. The remote I use can be swapped for one that's less expensive while you're starting out.