Bear in mind that the '05 doesn't have 400 rwhp, that is the hp at the crank. It realistically has 350-360 rwhp stock. To get your '04 to that level a CAI, mild cam, and a tune would probably do it; adding headers would definately put you over the top.
To get 400 RWHP would be more in the realm of new heads, cam, LT headers, and a tune; or, as stated, some sort of forced induction (supercharger or turbo).
None of this should serious affect gas mileage as long as you keep your foot out it most of the time.
2004 Pulse Red GTO M6 - New Era CAI, TB Bypass, CAGS, Custom Split Exhaust, SLP Sway Bar & Bushings, BMR Strut Brace, HID, Sans Spoiler, Sirius
2002 Quicksilver Z06 - A Few Upgrades