I dont know about the 05 or 06 but I love my 08, it does seem like the transmission slips when starting out every once and a while. Ive had looked at by the dealership and we drove it for a while and it will never do it with a mechanic in the car(go figure) but if anything breaks its got the 100 k warranty on it, as far as the exhaust goes...everyone will tell you to go with magnaflow, but I will tell you to go with flowmasters just to be different. Thats what I have on mine and I get compliments every day from ppl I dont even know, also it has the KNN cold air intake. Check it out.
YouTube - 08 Grand Prix GXP with flowmasters