Exhaust, what a subject. As far as the axle-back (muffler, etc..) is concerned, its largely down to sound, look, and weight (if you're into that). There are LOTS of youtube videos you can find with different exhaust setups.
As for the downpipe, most will serve you just fine. There are catted (emissions legal) and uncatted (usually illegal, but most states dont care except CA). The uncatted will usually net you a bit more performance, but only maybe butt-dyno noticeable. There are a ton of brands out there.
The one thing to take into account with the post-turbo exhaust, is that it's a true 3" all the way to the end. Some downpipes neck down to 2.5" which is an unnecessary restriction since most people end up with a 3".
So that's what most people think of when they talk "exhaust" but theres also some pre-turbo exhaust components: the header and up-pipe. There are definitely gains to be had there! Are you interested in those as well? If so, the first question you have to answer is: equal (EL) or un-equal length (UEL)? UEL is what the car comes with and is generally attributed to the "boxer rumble" you may have heard about. But UEL basically has exhaust pulses from each cylinder colliding with eachother and is probably not an ultimate-power type of setup. But it sounds fun. EL, on the other hand, has all the exhaust pulses equally distributed..but loses some of the traditional sound. You dont have to swap the whole header out: there are some "cross-pipe" options, namely the GrimmSpeed cross-pipe that can give you some gains. You can also port and polish (PnP) the other OEM header components for some reasonable gains. I havent actually done that but its pretty widely done, from what i understand. The headers connect to the up-pipe (which goes up to the turbo). I dont actually know much about the OEM up-pipe, but there are lots of options for those as well. But you'll want to make sure before you buy anything that they all connect nicely: some are two-bolt, some are three-bolt, and the occasionaly v-band from what i remember.