i dont know what he's talking about bending valves n shit. buy a 3" downpipe that youre happy with, along with a test pipe and ur good. of course, accompanied by a quality aftermarket exhaust.
stock exhaust is always a good idea, thats why manufacturers put it on there.
when you decide to upgrade, pick up a 3"downpipe, test pipe, and turbo elbow (replace gaskets as well). stock exhaust is just fine, but its one of the first things people with SR'd cars do to free up power.
your throttle response is affected in this way...there is less cubic inches for air to move out of on a stock exhaust, as well as more bends in it, so you wont "feel" the cars power as well as you would with an aftermarket exhaust. its a considerable amount that you'll feel if you ask me, generally 8-15hp depending on the application. downpipe alone usually free's up to 12whp as stated by certain companies.