Best place for you to start: TheOtherDave's Sig under FAQ Index. This should guide you in the right direction. Without tunning, your not going to get any real increase in power from an exhaust system.

Suspension: Shocks & Springs give a better appearing stance and handling ability. An aftermarket swaybar is sure to please as well.

If you want better headlights, research HID Retrofit. Basically, you custom install HID Projectors into your stock headlight housing. Add the ballasts and bulbs, and you have OEM Quality HID.