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From my understanding putting headers and/or a full exhaust are mostly an audio enhancement to the engine; allows a more visceral note to make it through the entire exhaust. Changing a throttlebody, manifold, intake 'elbow' can gain airflow in the engine on various levels depending on the geometry and size of the opening you allow the engine to draw air through.
Similar concept in a CAI, where the colder air actually creates a more 'preferable' charge of air when the engine goes suck, squeeze, bang, blow.
Porting and polishing the heads from my understanding also follows this line, but also creates a 'combustion' friendly situation where the actual cylinder head is changed to allow a more 'fuller' burn of the fuel/air charge in the cylinder.
In any mod the object is to get more power out of that combustion charge, so changes to the cam (valve lift duration, overlap, etc), cfrank shaft, pistons, even the rings can help gain some lost power from that fuel/air charge.
But that's my laymans point of view with some aviation maintenance background. There are others here that could go more in depth with the what, how, why.
Yo, Vendors.. wanna chime in?
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