Exhaust: Motordyne TDX v2, in my opinion it is the best sounding exhaust for the Z and G platform. They are around $1,700 but worth every penny. It gives the Z a very distinct resonant tone comparable to an exotic car. Pair it with test pipes or Longtube Headers (Headers that are one piece so no test pipes need to be purchased) and it will really wake up the sound. I've had this exhaust for about 5 years now and it sounds just as good as it did out of the box.
This video shows it on the Z's cousin, but the sound is identical.
https://www.youtube.com/watch?v=NJZ75Vi5Y5A
Headers: PPE Longtube Headers
Price: About $1500, These are the best headers you can get for this car, period. These will also make the car sound like a monster.
http://www.ppeengineering-onlinestore.c ... 835001.htm
Headers option 2: DC headers and Stillen Headers
These run for around $500
The thing about the 350z Exhaust manifold is that its already well made (especially the 07-09), so just buying a set of resonated test pipes would already help. Not to mention the weight reduction it benefits it would yield because of how incredibly heavy the stock cats are. Best of all, they wont break the bank, test pipes are only about $150 to $300.
Of course once all is said and done its recommended you find a nice tune for the car to help it run at its optimum performance. This link provides locations of your closest uprev dealer. I've used Uprev Engine management for about 6 years on my car, its managed to get up to 190k miles (from 90k miles) without a single hiccup. Its an awesome program because it fully utilizes the stock ecu, so no extra piggyback systems or a standalone computer ecu replacement is necessary.
http://uprev.com/secure/dealers