I would wander over to forums.rennlist.com, and do some searching. It really doesn't seem like many people can prove any increase in power on these engines from intakes and exhausts.
Also, look at the info on plenums, all the rage. I helped a guy trying to bring to market a competitor to the RSS plenum (which costs $1000), and I've done about 20 dynos of my car (2003 996 C2), and proven that all it does is shift the power curve a bit (and not in a way that I like). He's back to the drawing board, but I haven't heard from him in a month now. People are also claiming better throttle response, but I've been running with and without and seen nothing.
Beware the placebo effect, and beware the 'honest' opinions of people who plunked down $1000+ on a mod.
Personally, I would change my exhaust if I could make it quieter without sacrificing power. I prefer stealth.