I would totally agree with leveecius, if this is your very first forced induction car, You first need to have the engine breathing properly first and the engine to handle the change in boost. Otherwise, youll just lose out and blow your motor really really quick.
I suggest this, strongly, research your engine's specs to understand what its actually doing, never listen to your friends on car advice if their not mechanically inclined. Especially if their car looks like a pile of junk with huge spoilers on it and body kitted out.
You should stick with basic bolt ons, research around here for what works best on the bolt ons (dynos, reliability). I would just do an intake, header, and catback. That will be quite noticeable for what your looking for and decent enough on a turbo'd engine. For turbo upgrades, just do something simple, like an electronic timer or a FMIC (front mount intercooler) to where it wont hurt the engine at all. You will gain a pound or two of boost from the intercooler alone from less restriction.
2009 Cobalt LS XFE U74
Mods: K&N Typhoon Intake, Option Cat-Back Exhaust, Cosmo Short shifter, Maxxim Ahead 17X7's, MPx shorty antenna, FE5 Strut/shocks, Tein S Techs, Moog endlinks, Moog spring seaters, ZZP shorty header, LSJ downpipe, LNF front grille