welcome
cold air intakes most likely wont void any warranties, unless your dealer is a real POS. they don't really effect anything and don't require a tune.
the best sounding exhaust is the one you like the most! look into anything from Borla or Corsa in my opinion.
and yes you need a tune for headers which will 100% VOID any and all power train warranties.
good luck and congrats.
P.S. mpg?? LOL dont worry about that. your not going to get good gas mileage but who cares!! enjoy the car and as long as your not flooring it all the time the gas will disappear slower..