2.5" collector headers:

Good: DC Sports "JDM" 4-1 or OEM Honda JDM ITR 4-1
Better: JG Edelbrock
Best: SMSP or Hytech

Attatched to these you'll want a 2.5" hi-flow cat and a custom mandrel-bent set of 2.5" pipes hooked up to the muffler of your choice--with a 2.5" inlet of course. You can always bolt this stuff up to the stock motor, but you won't really see the benefit until later on once you really get into it.

If you don't have at least a good set of tires plus upgraded shocks, springs and brake pads I would go and get those items first before cracking into the engine mods.