If you want massive horsepower and minimal miles/gallon losses, a supercharger is probably your best bet. It's not cheap, but it's very effective.
rrathea only lost 1 mpg with his supercharger. I actually GAINED 2 mpg with my last vehicle when I supercharged it (well, when I could keep my foot off the floor, which was quite difficult post-supercharger). The MPG really depends on how you drive.
You could also look into a turbocharger or twin-turbos. Both are expensive, but give you a ton of horsepower/torque and don't kill your mileage.
If you're in the mountains of tennessee, I'd recommend going forced induction...you'll notice a HUGE difference higher up in the mountains as the air thins out.
One thing though...
If you're not used to driving rear-wheel drive performance cars, learn to drive the naturally aspirated GTO before you get too radical with your mods. These cars sometimes have a mind of their own, especially on wet pavement.
Good Luck and welcome to the community!