The egr stands for exhaust gas recirculation. It sends a small portion of exhaust air into the intake manifold to make sure all of the fuel is burned, since some unburned fuel can escape out the exhaust. Not a manditory system on the car, but good for emmissions and a little mileage. I am still averaging over 30 mpg without it, but you can always have the port welded onto an svt header by any reputable exhaust shop.
The header, cat and flex will take you about 1/3 of the way to the tailpipe, and an exhaust would certainly continue helping you gain hp. The cheapest route is www.mandrelexhaustsystems.com, decent quality and you pick what mufflers you want. 2.5" piping is generally accepted as being the best overall option.
A header will pop up for sale soon, it is worth waiting for.
Matt
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