www.importrp.com has some pretty good prices, and they have free shipping on a lot of their stuff too. You can also try Ebay, but beware of the fake stuff on there. If you see a "Greddy" exhaust for like $100, click on the ad and read all the info, usually it's a cheapo brand like Tsudo, and they're just saying that it's "Greddy-style."
As far as brands go, I like AEM for intakes, because the fit and finish is really nice, but if you don't want to spend a lot, a cheaper one will work just about as well as long as you put a decent quality filter on it. For headers, most people do DC sports, which are decent, but I wouldn't say great. Companies like Rage, SMSP, Kamikaze, etc. make good headers, but they're usually pretty expensive. For exhaust, I like Greddy, Apex'i, RSR, Tanabe, or you can go custom with a nice muffler like Vibrant or Magnaflow.