As everybody else said, there's a lot of stuff out there for the 2.2, and the Cobalt (and Ion) forums have traveled this road already. My opinion would be to go with a long-tube header (used ones work fine if you're on a budget), and a good catback for more noise. The header is going to do more than most any other easy bolt-on. You ought to be able to do that without a tune, and not throw codes. A tune would probably improve things, but it might not be necessary.

Once you start messing with cams, changing your redline, or going catless, you have to have a tune, and that means more money. I would start low budget and go from there. If you put too much into it, you begin to approach the point where you could just buy an SS, and not have the side effects.