For cheaper than a high end exhaust system, you can put in the m54b30 engine which is 39 more hp, and 55 more nm of torque, and a much nicer torque curve.
Buying a high end exhaust will just give you a single digit increase.
If you don't want to do that, put on the m54b30 intake manifold, run a *proper* cold air intake, replace your vanos seals, reset the throttle adaptions (free) and that will give you more power than an exhaust and even cheaper again.
Or you could change your diff ratio, or for more money go lsd.