I came up with a simple parts list for the 4G Sonata. I am not listing aerodynamic parts or anything to do with lighting... check the vendors for those.
Parts marked with * are not readily available to US/CA market.

Engine
K&N Filter 2.4 I4 33-2887
K&N Filter 3.3 V6 33-2346
Headers 2.4/3.3 (KSpec/KAI)
Weapon-R Dragon Intake (3.3 V6) 842-121-101
Weapon-R Secret Weapon Intake (3.3 V6) 342-121-101

Exhaust
*7ism Cat-back Style 1/2
*JUN B.L.

Suspension
*BILSTEIN B14 PSS Coilover HE5-E663
D2Racing RS Coilovers D2-H010
Eibach Pro Kit 4240.140
Front Strut Tower Bar (KSpec/Shark Racing)
H&R Sport Springs 29163
*Koni Struts/Shocks 8041-1357Sport (front) 8040-1358Sport (rear)
KSport Kontrol Coilovers CHY09-KP
KYB Struts/Shocks 341476(front) 349060(rear)
Monroe Struts/Shocks 72281(front) 5614(rear)
Neotech Coilovers Type LE (KSpec/SFR)
Neotech Coilovers Type VE (KSpec/SFR)
SMA Coilover (SFR)
T&P 2700 Coilover (KSpec)
T&P 2700A Coilover (KSpec)
*Tein H-Tech Lowering Springs SKJ08-GQBH0
*Tein Super Street Damper DSJ08-KQAS2

Brakes
Hyundai 12" Drilled Rotors 51712 2C700 (Front L/R) (SFR)
Hyundai 2-piston Calipers 58180 39A20 (Front L/R) (SFR)
Ksport Big Brake Kit 12" 6-piston BKHY090-621SO (Front only)
Ksport Big Brake Kit 13" 8-piston BKHY090-831SO (Front only)
Ksport Big Brake Kit 14" 8-piston BKHY090-841SO (Front only)
Ksport Big Brake Kit 15" 12-piston BKHY090-951SO (Front only)
Ksport Big Brake Kit 16" 12-piston BKHY090-961SO (Front only)

Vendors
Import Shark
KAI (Korean Auto Imports)
KSpec
SFR (Seoulfulracing)
Shark Racing

Korean Vendors (search for "NF" and/or "소나타")
Gmarket
ImotorRoom

Why isn't this a STICKY?