My first big step after extract/grains was a switch to kegging. I hated dealing with all the bottles and the switch to kegs made me enjoy things again. Which for me was important, because I may have stopped brewing otherwise. However, I did learn that I shouldn't have given my bottles away as I now keg, but like to bottle some of the better brews for portability/gifts/etc.
Next step was using starters and a stir plate. This was followed by yeast washing which has saved a ton of money.
Next big step was to all grain. I also hesitated with moving to all grain - it seemed so mysterious - but I'm so glad I did. With batch sparging, it's really not that difficult to setup and get some great results. It does make the brew day a bit longer, but I'm coming in right at 4 hours from first flame on to everything cleaned and put away. And, there's lots of downtime during the mash and boil so I get lots of other things done as well.
Next on the list is building a keezer that will take me from 2 to 6 taps (or 4 taps and a lagering chamber). I'm looking forward to being able to lager and experiment with a whole new set of beer styles and yeasties.