well, there are a few differences and your decision should be based on what your plans are for the car. Which is more important, true performance? or performance/sound/look?
See, you can get a CAI for around $100 (Simota, just got mine for $70ish in a Group Buy) or you can get a cat back exhaust for 520 (on the lower side, still staying 50 state legal).
If you plan on adding a turbo or header to your car then i would suggest the exhaust as you will beprepping the road for those changes and complementing the performance benefits of each part. If you are more likely to just leave it as is and just add cosmetic or suspension mods then you probably should go with the CAI. Also, if budget is a concern then i would go with the CAI.
Now, as far as sound and gains, the exhaust trumps the CAI in every category, but that is why you pay more than 2 or 3 times as much. You should expect around 8HP (some people claim up to 12hp) from the exhaust but no more than 4hp (or 6hp) from the CAI.
As far as sound/looks. I just installed my CAI and i am very impressed by the sound of it. It really adds a nice little growl to the engine, expecially at WOT but not a drowining sound. Very nice. With an exhaust you will usually get a nice grwol but it will be hard to find the right onw. Depending on what you are looking for sounds, some are very loud, some are not loud enough. Some have a nice growl athat stays even after 3K ropm, others end up with a drowning tune that will drive you crazy when driving highway.
Anyway, i guess to me a logical step would be CAI then Exhaust. but you may have different plans.