First, don't bother with a CAI. It's a waste of money. While saying that, so do TB spacers.
It's really going to depend on your budget and goals.
Tuning needs to be a part of whatever you do: ~$500 to do it yourself, ~$500 to have someone do it for you once, ~+$1K to get something that will keep doing it for you.
An exhaust is going to be needed. I will argue with everyone on here about this one, and I can at least tell you from personal experience, that the single biggest problem with our exhaust system is the collector at the cats. Your cats go from dual 2 1/2 to single 3" (might even be smaller). That's a 3/4" reduction in size. Have you ever floored it, and after 4500 it starts to accelerate slower. That reduced acceleration is because of the restriction your exhaust is experiencing because of that collector.
Long tubes move or remove the cats. You can run an x-pipe or straight back exhaust, requiring an entirely new exhaust.
Short tube headers DO IMPROVE FLOW, but they won't do it alone, and they won't do it unless you remove that collector restriction. If you just want sound you can change the muffler, and I wouldn't bother with anything else. If you want improved performance, you need to remove that collector and not have a choke point in your exhaust. If you can weld, you can do a dual 2 1/2 to 3 1/2" collector with a custom made 3 1/2 exhaust back, or dual 2 1/2 back. Short tubes will let you do it in sections too, unlike long tubes where you need to build it all at once to have a complete exhaust. Shorties are legal, some even in CA. No long tubes are street legal on an NBS.
(THE REASON PEOPLE ON HERE THINK SHORTIES DON'T DO ANYTHING - Is because when you do long tubes, you ALSO remove that collector. Shorties alone don't change anything about the only choke point you have).
To keep it semi mild - (NOT FI)
Cam, and can do intake. If you want a little more after that, then heads. Beyond that, You need to research through other sections of the forum, and spend 1-2 times what the SUV is worth if you want it to be able to control that power.