Need advice for a newbie

I''m looking to get some more out of my ''07 gs, but I don''t know anything about cars. I''m hoping someone on these forums could help me out. I''m planning on getting a new exuast - intake - headers - ecu. Could anyone give me some advice?

Intake - CAI or SR and what brand and model would be best.
Exuast - What type of catback should I get.
Headers - Don''t know **** about headers, but a friend said if I''m getting a new intake and exuast, I should get new headers. What type/brand/size/whatever.
ECU - From what I know about this, it should give me more horsepower, better gas mileage, or whatever i map it to using a management system?

Sorry if I sound retarded and don''t know what I''m talking about, and any help will would be appreciated.

If you have a lot of money to play w/ look into a turbo kit.