Exhaust gives some decent gains on those 2v's...nothing crazy like h/c/i or FI but some gains. Do full exhaust to get the maximum gains - headers, midpipe, catback.
UDP's are good for a few hp and tq too...if you plan on running a supercharger I'd skip them as you don't want an underdriven supercharger
I'd consider some gears and a tune after the exhaust. The gears won't add power, but you'll definitely be quicker as the power is better distributed throughout the powerband.
The tune (use a handheld tuner) will adjust for gear tire changes, adjust shift points/firmness (auto) and free up some power on the higher octane race tunes.
Some guys do go a step further and start upgrading heads, cams and intakes (h/c/i). I know a few guys who are happy with the Trickflow setups as well as the Comp Cams Stage 2's.
12 Black GT500 SVT PP l 2.6 Pulley/Idler l Airaid l o/r X l 305 NT555R's l Recaros l
04 Azure Blue Mach 1 / 03 Sonic Blue 3.8 / 14 Sterling Grey F150 FX4 402A 5.0 / 11 GT500 R.I.P.