I'll bite, but to be honest most of your questions could be addressed if you did a bit more digging through the forum.
First adding a new exhaust will not improve the Hp of a Nismo, as the Nismo already has a 60mm CBE. With that said, the Fast Intentions CBE is considered the best exhaust for the Z.
For a little extra Hp (5-7 Hp), a cold air intake is recommended. Stillen is the preferred system. However, smooth silicone intakes and a dry air filter will also work nearly as well.
The Nismo already has an upgraded "track ready" suspension, but the preferred suspension upgrades are Swift springs and SPL rear camber arms. Air suspension on a Z is silly.
Wheels are totally subjective.
IMHO, if you're intent on modifying your Z, I'd just get a Z with the Sport specifications. It's a better bang for the buck.
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