Yes CAI gives better gains than SRI's. 'Long tubes' are cold air intakes, and the two best ones (strictly personal opinion on this one) are the stillen gen 3s and the AEM ones. I personally have the AEM and love it
Short ram intakes gives less power and is more prone to heat soak, but it is easier to install and to maintain the air filters. There is no such thing as a short tube CAI.
I have an 09 as well and I drive my Z fairly hard. Not being on track, but hours of mountain roads driving hard without an oil cooler has been fine for me. Oil temp hasn't surpassed 230F yet. Unless you're tracking the car or live in a hot area, I wouldn't say that you need an oil cooler immediately as one of your first mods.
IMO get a tune after you're done all your bolt ons. CBE wise, Fast Intentions and Motordyne are the most well known for the 370z's. There's an exhaust thread sticky somewhere that was made solely for exhaust notes on youtube videos on this forum somewhere, you should definitely check it out. Just because those two brands are considered to be the crowd favorite doesn't mean that the other brands aren't good either though! I personally have Invidia and love it
All in all, there's a ton of information on this forum. Doing some research would be great before pulling any triggers