I think a well-connected character with a reasonable amount of money to burn (say, a lesser noble, a successful trader or up) wouldn't be overwhelmingly restricted in what was an option.
It's probably easier to list things that wouldn't be okay than those that are. Some of the major Tech-Priest implants (the cyber-mantle, potentia coil and the like) are probably sacrosanct to the point that the Mechanicus would peel you apart and take them back if they found out (although lesser imitations would probably be valid, even necessary for a sufficiently augmented character). I suspect that things like auto-sanguination are probably also getting into the realm of no.
As far as ideas for the possible, the 40k RP books list a lot of possibilities - blackbone bracing, synthmuscle implants, sub-skin armour, memorance implants, Luminen capacitors, interkeratic implants, Twitch-masks (as DapperAnarchist has already mentioned), pain wards (which cause pain to manifest as other senses, such as tastes or sounds), etc, etc - and the fluff for those can often be found copied around the net.