Headers won't give you much performance gain because the stock headers are already pretty free flowing. Intake, exhaust, XCal flasher, underdrive pulley, and a modified throttle body is a good start for your performance needs. For the intake, I would suggest Explorer Express's MAC Intake, but there are several other sites that sell it. K&N, Airaid, and the Volant are also popular choices.
Several members have had their exhaust changed by local muffler shops. Flowmaster, Magnaflow, and Gibson are some good examples.
The XCal can be purchased from site sponsor Wayne Foy. It's an SCT flasher that improves HP and Torque numbers, firms up shift points, corrects speedo for different sized tires, etc. The UDP can also be purchased from him. He's also located in Georgia.
For the modified TB, contact member Todd Z.
If you do a google search for various items, you'll find tons of websites that sell them for reasonable prices.