To save from the donor car:

•Engine (duh).
•All the intake piping you can get (or want). You can reuse most of it, though not necessarily in the stock way. The airboot-to-turbo pipe is steel so it's easy to weld on any ports you might need, such as for a bypass valve.
•Fuel distributor with all lines and injectors.
•Exhaust manifold and downpipe back at least until just after where the wastegate and exhaust join together. It may not fit the 4000's exhaust directly, but you'll want a good length of it to work with. It's possible to get the entire downpipe to fit, especially if you have the means to bend it a little.
•Red harness. This mostly runs between the ECU and the engine itself, but you'll need to pull the branch of it that runs over to the driver's side, including the plugs for the ISV controller (with the controller, looks like a giant relay), and the kostal connector. Don't cut anything when getting it out, other than the wiring on the other half of the kostal (you want both halves). It's better to pull the harness whole and cut if you need to after you have your wires traced later (though you shouldn't need to). You'll want about 6" of the other half of the kostal connector wiring (should be wrapped in yellow).
•Ignition coil.
•ECU.
•Fuel pump relay.
•If you can, pull the throttle cable. You might find it useful later, as the 4kq one is too short so you can put the two together.
•Oil cooler and shroud. This can come out with the engine and it's the easiest oil cooler to use, though the long lines take some specific positioning to get them routed correctly without kinking.

Optional from the donor:

•The power distribution block attached to the passenger side frame rail toward the front of the car. This is handy since you'll have to relocate the 4kq's battery to the trunk and this can mount on the firewall and provide a place to connect power to.
•Airboot if you plan to use the cut inner fender method, which is cheaper and leaves more space, though isn't as clean looking.
•After-run system (if you plan on using it). This includes a large blower attached to the driver's side motor mount, a pump attached to the coolant hoses, and a shroud with ducting that runs from the blower to the fuel injectors.
•If your junkyard is nice enough to give you an "all you can eat" pass to get everything you need for the base price of the engine, you might as well pull the intercooler, airbox, charcoal canister (behind the airbox in the fender, good for making a catch can out of), and anything else that looks useful.

To save from the 4000:

•Driver side engine mount (the aluminum one that's bolted to the engine, not the rubber one bolted to the frame).
•Oil pan, pickup tube, and baffle.
•Alternator and its brackets (the 5000/200 mounts on the opposite side but there's more room by the radiator).
•Coolant inlet (straight versus the angled MC one).
•Radiator and hoses.

Optional from the 4000:

•Valve cover, depending on which way you want to go with the throttle cable.
•Airbox, if you don't want to use a Ur-Q one.
•ECU harness, just because you'll most likely need a lot of wire and some connectors, and this will be an easy and "stock" way to get it. Still remove it from the car though.
•Intake manifold, if you want to run your intake pipes around the back instead of across the front. This also lets you keep the two-stage throttle valve if you want it, as well as negating the need to change the throttle cable.
•Battery tray. If you can remove this in one piece it fits perfectly in the trunk (weld or bolt it in) and is much cheaper than a battery box (free, come to think of it).

To source if you want a "clean stock" look (though it's not necessarily easier this way):

•Ur-Q "igloo" (the aluminum piece that serves as the air boot on those cars), as well as the top of the airbox, which will properly angle the air meter and fuel distributor, plus at least the short line for the fuel frequency valve.
•Ur-Q throttle cable (part # 857 721 555).
•Ur-Q downpipe, a direct-fit replacement.

Optional Ur-Q:

•Airbox. It's a nice aluminum piece that will resist heat really well from the turbo and exhaust, which are in very close proximity.

Also needed:

•Pre-bent tie rod for the passenger side or a good bending apparatus to tweak the 4kq one (DO NOT HEAT IT TO BEND IT).

Useful intake diameters for when you're shopping for an intercooler and pipes:

•5000/200 airboot outlet: 2.25"
•Ur-Q igloo outlet: 2.5"
•"Michelin Man" hose (from throttle body) outlet: 2.25"
•Turbo outlet (pressurized side): 2"
•Turbo inlet (intake side): 2.25"

Miscellaneous info:

•The intake air temperature sensor on later engines is mounted on the intercooler. Since you're probably not using the stock intercooler, you'll need an M6x1.00 tap to relocate the sensor. Make sure you put it on or after the "cool" side of the intercooler so that the temperature reading will be accurate for what's going into the engine. Good spots are on the endcap of your new intercooler or anywhere on the intake manifold where it will see incoming air. Early engines have the sensor mounted on the intake just after the throttle body (later intakes still have the flat spot for it), so disregard if you have this.
•You might find that you have the wrong pilot bearing, or in the case of an engine from an automatic car you'll need one period. The part number is 046105313D.
•When relocating the battery to the trunk, you will need a circuit breaker to protect the big, fat, juicy wire you'll be running under the carpet. Anything 200A+ will be sufficient. I have a 150A that trips once in awhile during long cranking, so that's probably right on the edge. Never had a problem with the 200. Nice to know they do work though.

VERY IMPORTANT: You need to put the circuit breaker as close to the battery on the TRUNK side of the cable as possible. Don't be tempted to mount it to the firewall and leave some 15 feet of direct-from-the-battery wire unprotected. You'd never be able to put that fire out.