The best thing I ever did with either my 9 or 45 compact USP's was to install the Hogue slipon grips. Only $10 each and they make the gun absolutely wonderful to handle. The USP grips themselves are fine for normal use but spend a long day on the range and they can chew you up preety bad, I had blisters after I took my CCW class.... with the hogue grips it feels even better and no more blisters. I went out last weekend and shot about 300 rounds and walked away not feeling anything bad in my hands whatsoever.
The other mod I'd suggest is a set of night sights. You can find original HK sights on ebay quite often, I just got a set of mepro's from the local gun shop.
I have also gotten the quick-comp compensator for the 9mm, it's nice but makes the gun unsuitable for carry use - is a "range only" type of mod. I have also ordered the Surefire tactical light for the 45 compact but haven't gotten it yet. Have their light for my AR and it's great, assume I'll feel the same about the pistol light.