Anything is better than GM factory exhaust, it's awful. To get the most out of the car, I'd say Doug Thorley Headers and whatever catback you want...problem is, HP per $. I'd venture to say you wouldn't see more than 15~WHP with headers and a catback on the LS4 car. They just need more intake/valvetrain mods to make the headers worthwhile. If you don't plan on getting into the motor (ie Cam & Heads), then I'd just get some mufflers of your choice, and a catted downpipe. I'd buy the downpipe from Hogan Performance however, it is the best LS4 unit on the market. I have seen Curt's stuff first hand...and it is top notch quality.
Dave @ Triple Edge Performance has great stuff as well, and his shift kits work great. If you are however wanting a more solid, performance feel...lean towards the Intense-Racing Shift Kit. Shift Kit just requires a pan drop, 7-8 quarts of new fluid, and a new trans filter. Which wouldn't hurt at all. Takes a hour or two, actually pretty simple broham.
SPYDER headlights suck.
Keep the factory fog lights/headlight capsules...and just get HID's for them, probably 9006's...or 9007's...not sure. I buy all of my stuff from Best HID Kits, HID Headlights online shopping, LCD Projector/Tattoo Kits/CCTV Systems for sale
Never has left me down yet, minus the HID's I put in my sister's Accord...but I blame the source of the car for the issues, not VVME...damn Honda's. hah.
Otherwise...if I had just bought a GXP, I'd go about it like so...
DIY Intake System...ie, make your own.
Catted 3" Downpipe, Some sort of muffler with the stock tips re-used
Poly Upper Dog Bone Mount/Bushing
Shift Kit with the Pan Drop/Filter Change
...then, however you go about it...get that fugger tuned. You can buy HPTuners and do it yourself, or pay someone in NY to do it for you.