Ok well there are different types of exhausts you can buy. You can start with just the muffler itself, which is the biggest part of the exhaust (for those who didnt already know
) Replacing that by itself will give you basically NO perfomance gain, but it will change the sound.
Then you can get an Axel back exhaust. This will come with a performance muffler and a relativily small piece of piping that will go up to, and maybe a little past, your back axel. It's called an Axel back because the piping you bought starts at the back axel, and goes back to the muffler. This provides about the same performance gains as just a new muffler.
Then there is a cat back. With the cat back, you will get the muffler, and all the mid piping all the way up to your catylitic converter. General this piping is a larger diameter than your stock piping, which allows your exhaust to flow more air. This gives your the true performance gain of an exhaust system. The ENTIRE exhaust system must be able to flow more air. Having just bigger piping, or just a better muffler wont cut it. As soon as the air is restricted, your gains are more or less gone. You will also want to get a high flow cat to keep the air flow flowing smoothly. Your exhaust system will also greatly benifit from a header.
That said you shouldn't run out and buy a cat back system, as they can be pretty pricey. For less money, you can go buy your performance muffler, or axel back, and have a garage build you a mid pipe. It is a lot cheaper than buying a cat back. Just make sure the pipe is mandrel bent, and not krinkle bent(or however the hell you spell it) to maximize air flow. Also make sure they use at least 2 1/4 inch piping. I'd recommend 2 1/2 and if you want to turbo, go with 3 inch. Don't try and be smart and get them to do 4 inch piping or somthign like that, as that is wasted metal, and you have 0 back pressure... which is a bad thing.