There's a group buy for headers from Doug Thorley going on right now. We're getting them for $650 ($600 if they get enough deposits, please sign on and save me $50!!!), and they'll keep making them a $960 (iirc) after the buy. The headers have a downpipe for each bank (2.5") and merge under the car into a 3" outlet. They're 14 gauge mild steel, ceramic coated inside and out, and they come with a lifetime gaurantee.
As for other mods, you'll have to show some ingenuity because although everything for an LSx can be made work, very little does out of the box. A lot of guys are going with N2O wet kits or the turbo kit. A guy over at LS1tech is running 11.49 at 117 with the turbo kit, a TEP transmission, 1.8 rockers, and a Magnaflow exhaust:
YouTube - 11.49 @ 117 2006 Monte Carlo SS 5.3V8 Cartuning Turbo Kit