You need the header, cat, and flex pipe, a new oil dipstick, and a new power steering line (or will need to bend the old line), probably should either wrap the header or buy a new heat shield.
You'll also need to get a new egr bung welded in and iirc will need to extend the egr sensor wire.
You can run without the egr but will throw a check engine light and not be legal in states that do emissions testing.
The flex pipe is a flexible pipe that connects to your exhaust.
Catalytic converter is a pipe filled with precious metals that reacts to your exhaust gas when it flows through it, and converts some of the pollutants in the exhaust to less harmful substances.
Be prepared to have to cut out some of the old, rusted bolts, take and make sure you have a torch on hand. I'd buy some new stainless ones.