Wow! Lots of different opinions here. Anyone but me actually running the TurboXS "Stealthback"? That's their catless 3 inch dp/rp combo into stock CBE? I think that's probably what OP is considering.
Let me give you my own experience for what it is worth.
Posters who are saying to address the intake side first are correct.
An engine is basically a pump. It pumps air and fuel in, burns the fuel and oxygen to make power and discharges the byproduct as exhaust. You have to increase flow to increase power. The stock air box is horrendous and seriously impedes flow. OP, get an aftermarket intake. Either SRI or CAI, whichever you prefer. Any reputable brand is really going to open things up and let the engine breathe properly. I prefer CAI and will not drag us into the endless debate over individual preferences. Just get a good intake, either kind.
Make sure that if the intake tubing has any sort of curvature in the pipe before the air gets to the MAF sensor that there be some kind of air straightener ahead of the MAF sensor so you can get accurate readings to your ECU.
AFTER addressing the intake flow you can then and only then get benefit from opening up the exhaust.
On the exhaust side, the stock CBE actually flows better than the max flow rate from the K04 turbocharger, so OP is smart to save money and not go with a CBE. Changing CBE is only for sound on the stock turbo.
As to the dp/rp choices, I can only report why I made my choice to select the TurboXS dp/rp. There are a lot of good downpipes out there. Look for the following things
(1) high quality stainless construction;
(2) good reputation for fit and finish;
(3) a good cast stainless bellmouth - this really helps control flow and cool the exhaust gasses right as they leave the turbo and allows for a smooth transition without restriction for both the flow from the exhaust impeller and from the wastegate;
(4) well-designed flex joints for both the downpipe and the racepipe - the flex joints make installation much, much easier to line things up and to get a good seal on the flanges as you tighten things up;
(5) a complete kit that has all gaskets, nut, bolts and adapters so that you don't have to go out and buy anything.
The TurboXS kit has all of this. Maybe others do too.
Now, let me put a couple points out there for consideration. I bought my car new. I'm at 54,000 miles. The downpipe and race pipe combo went on about a month after the intake during the first 5,000 miles or so of ownership. This will kill your warranty. I don't care. This mod in combination with the intake has been absolutely spectacular and trouble free.
You will notice that this was without a tune. Anyone who says you have to have a tune or have to upgrade to an aftermarket high pressure fuel pump must consider that I'm still on the stock pump and only recently added a tune, Hypertech.
But, and this is an important one. If you add a downpipe and racepipe, you MUST monitor. This means at a minimum a boost gauge and some form of scan tool to check fuel pressure (at least regularly if not data logging). Why? Because you will quickly find out that the increased flow on both intake and exhaust will now cause boost to rise to 18-19 psi and there is risk of possible overboost (which has never happened to me) or possible early transient boost spikes (which did immediately become obvious) in the 21-22 psi range. Spikes can be potentially dangerous, although they caused me no problems and I watched this carefully and avoided going on boost below 3,000 rpm. The HT tune eliminated the spikes.
What to expect: With a good intake, the TurboXS dp/rp and one step colder plugs (probably not necessary) and on stock tune with stock BPV and on stock tires, I could easily run 13.4 quarters at 106. 60-100 mph times fell to 6.3 seconds compared to about 8 seconds on stock tune. It rips. The two mods together will result in a 30-40 whp gain over stock.
There is a chance if going catless that you will get a check engine light. The TurboXS does a good job with a raised 02 bung in reducing this. I still get the light maybe once every several months. I just clear it and roll on.
If you want to know what to expect, just check out the video named msms3 on YouTube. That's my 40-120 mph run. 12.5 seconds. That is on stock tune before I added the Hypertech flash. Stock would be almost 5 seconds slower. Five seconds is huge.