you still should do your own research, but I'll sum up what I've read on this site for you since I'm bored.
depends on how much you want to replace, and how much you want to spend.
Borla, banks, gibson, and others all make systems that replace from the catalytic converter back to the exhaust tip(which seem to do more for sound quality than performance), and also headers which you can replace your stock manifold with, this, along with a new down pipe and high flow cat MAY give you a performance increase, but it's highly debatable exactly what your getting. general consensus seems to be that you can gain around 5HP, but that torque may suffer due to the more open system with less back pressure.
In my opinion, SS Borla from the manifold all the way back seems to be the way to go, but expect to spend somewhere around 750-1000 dollars for the whole system (If you install it yourself)
My Advice: If your looking for a cheap easy way to get more power out of your jeep, you'll never find one. I was dead set on spending a ton of money on an air intake and exhaust- until I started doing research. these are two mods that honda and mustang owners swear by, and are a good place to start, but just don't do a whole lot on the 4.0L. without forced induction, or increased displacement, you're not going to get the kind of increases you'll want for the money.
search on here for Dr Dyno, click the link in his sig, and see all of the performance mods he has done.
HTH
B
B