so, new here..
#12
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I remember when I first got into cars. I had no clue what was what, including a CAI. You will definitely get it though. I am not at all familiar with the whole u-bend delete on the 2000-2005s so I can not help you there, but my suggestion is to just run up to an exhaust shop and ask a few questions. No one is going to turn down business, unless you are doing some thing illegal. Good luck and welcome.
#14
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I got my u-bend delete done for about 40 bucks but it will vary anywhere from 30 to 75. i would say it is worth the money it will get you another 5 hp to the wheels. You can buy them already made from zzp but it is usually cheaper for an exhaust shop to fab something up.
#20
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The reason gm created the ubend was to protect the 02 sensor. By moving it to the side with the ubend delete you run the small risk of damaging the 02 sensor when traveling off road but i have never heard of anyone having a problem.