just bought my 04's GTO for my 21st B-day

and i was wondering if a straight 2.5 or 3 inch exhaust would be a good idea. Better yet is that a good 1st mod?
Also why does my 1st to 4th gear light come on and what does it mean?
Is there a upgrade path that i should follow?
what is a good tunning device?(located in GA)