Interesting thread. After looking at the cayman forum where they have been doing alot of dyno testing on mods, it seems like you would be best served to go with a header+exhaust mod if you want to gain HP.
I am attaching a link with some of that information. The Miltek header and catback exhaust seem to be getting the best gains.
http://www.caymanclub.net/showthread.php?t=10011