You can get minor gains out of intake & exhaust upgrades. There are significant downsides as well.
The intake & exhaust plumbing on a stock 2.5 is pretty well optimized for low and mid-range power. Aftermarket pipes out there will get you more on the high end, if you desire it. The catch: do you really want to wait until the tach reads 4000 RPM before you notice the difference? Are you really going to stay a gear lower all day in order to enjoy that extra HP?
Here's a free experiment you can try. You can simulate the sort of HP gain you are talking about by temporarily removing weight from your car.
For one afternoon, empty out your car. I mean remove everything that doesn't require heavy tools to get out. Any "stuff" you have in the console or glovebox, or in the cargo area. Remove the jack, tools, spare tire, tire well lid, owners' manual, cargo cover, roof rack bars, headrests, floor mats... you get the idea. Run yourself out of windshield washer fluid and keep the gas tank mostly empty. Make sure the A/C is off & windows are up during the test drive.
You'll definitely notice a difference. Pay particular attention to the way it feels in 2nd-4th gear when you have the tach above 4000, you'll get a pretty good idea of how it will feel with hi-flow pipes plus all your stuff.
It doesn't cost anything to do the above, and it involves less actual work than changing out pipes.
It's not a pure test- removing weight is really not the same as having extra HP. Also, removing weight will make the car feel faster at all engine RPMs- not just the high end where pipes can help you. So if anything, the "weightless test drive" will feel better than a new set of pipes.
After trying it out, ask yourself if it is going to be worth the cost & increased noise.
Regarding tuning the computer- there are two basic methods. One is to buy a gadget that supplies false sensor readings to the ECU, to trick it into delivering a bit more power. These are a bit dangerous in the sense that the computer has less ability to protect the engine from damaging conditions, because it doesn't really know what is going on. I'm not a fan.
The second is to pay a pro tuner to tweak it. This is significantly more expensive, though the results are likely to be better. The problem is that a pro tuner is going to charge you the same money for your 10hp gain as he might charge an STI owner for a 40hp gain, because he has to do the same amount of work. That's assuming you can find one willing to take it on- some just don't want to touch a car that doesn't have beefed up parts like the STI.
I'll leave you with this- I needed to replace the wheels on my '98 2.5 due to cracks- previous owner was big on parking by feel. The replacement set of wheels & tires I wound up with turned out to be significantly lighter than the stock set, and the difference was very noticeable. Dropping weight from the drivetrain counts much more than just losing some dead weight. I hadn't planned on it, but I was delighted by the results. When I wanted more, I went through the above and decided that the answer was to trade up to a model that had more power to begin with and more potential for future upgrades.
Hope this helps!