Exhaust:
Cat-back\Muffler systems change sound only....
X or H-pipes will give an increase in HP (anywhere from 5-15 HP at the crank depending on the engine setup)
I would only recommend after-market headers if you plan on major N/A mods or a blower....

__________________
Uncle Sam
"What the hell is up with all the gauges?
Calling Captain Kirk, your ride awaits... Phasers on stun...."