The nearly unanimous recommendation for CAI and shorty headers is, Don't waste your money. You won't get any reasonable power gains, (you really can't compare this to other vehicles). Shorty headers in general for these engines are damn near a waste unless you for some reason have to replace your manifolds anyways. Go long tubes or leave it alone. For CAI, you won't get a performance increase. For both of those, if you are cool with spending your money to improve the sound only, then go ahead.
This has been covered many times. If you are looking for performance gains, start with a custom tune. There are several companies that can do it, the biggest one on this forum is blackbearperformance.com. If you are 2000-2004, after that you will want to do Electric fans, 2005-2006 had them standard. After that its a cam and head work. From there, it depends on how you big you want to go, or how much your budget will let you.