Toyota 20R/21R/22R Exhaust
So you want to upgrade your exhaust system. Okay start off by going to a good exhaust shop (Stay the hell away from Midas!) and have them custom mandrel bend a catalytic converter back exhaust pipe. Good sizes range from 2.25in to 2.75in for naturally aspirated engines, and 3in to 3.5in for forced induction engines. It is very important to have it mandrel bent. If you don't get your setup mandrel bent then the bends will have a crush in them restricting exhaust flow and power (i.e. Your 2.5" pipe will have 2" overall diameter bends). I personally will try and get a stainless steel 2.5" catback pipe next time.
The next thing to think about is your muffler. This is a strictly personal taste decision. You have literally, hundreds of options. The most common choice seems to be FlowMaster. This is a very loud muffler, it is also a very open/non-restrictive design. I will personally get a FlowMaster next time. There is also DynoMax, Borla and a whole host of 'rice' mufflers. You can also have your (non-Midas) exhaust shop custom make a muffler to your personal specifications. Tell them what size it should be, how loud you want it and what design you want (2 chamber, strait-thru, etc).
Now you want to change your catalytic converter. All you are looking for here is free flow. Just about every modern catalytic converter is better than the stock unit. But there are some slightly better options than a random cat. My preference is the DynoMax 'Super High Flow' catalytic converter. But there are so many options I won't go into them. The other option that I will cover is a 'test-pipe'. These are 'off road only', as they replace the catalytic converter and do not function in any way. A test-pipe is simply a Y pipe with a valve. The front comes off the header collector and splits into two pipes. One goes into the normal exhaust the other just opens directly to the outside world. There is a valve to control what direction the exhaust gases take, usually activated by a pull cord in the cab. This is not a viable option for anyone who cares about your planet, has to pass a smog or wants to register their vehicle for public roads. But there is supposed to be a considerable power gain in high rev's and wide open throttle (WOT). Some people install a normal cat for the smog then reinstall the test pipe for normal driving. I personally would not get one of these nor recommend anyone else to get one. Especially for a four cylinder engine. A similar option is gutting out the current catalytic converter. This involves simply using a bar to ram out all of the metal inside the cat.
Last but certainly not least is the header (exhaust manifold). The stock manifold is actually a good tri-y design and is relatively unrestrictive. That is why I would save this for the last exhaust mod. But the hands down best for a 20R, 22R or 22RE engine is the Doug Thorley tri-y header. Something that has to be considered if you want to install this header, is that unless you have a smog pump and order the piece equipped with smog fittings (not an option for a 22RE) the header will block off the exhaust gas recirculation (EGR) passages at the head, thus disabling the EGR system. This is acceptable if you don't have to pass an emissions test. Otherwise this problem can be fixed by drilling a 0.25in hole from the exhaust passage to the EGR passage on the #2 and #3 cylinder passages. Is fairly easy for anyone who has a good drill and good cobalt bit. Just use a shop vac to suck out the shavings while you are drilling. If you don't know what you are doing with a metal drill bit don't risk ruining your head, just go to a machine shop and have them do it for you (Should be fairly cheap). Also, do not drill a hole in your header for the O2 sensor, you will void your lifetime warranty! You can order the header with an O2 fitting or (as I recommend) get a heated O2 sensor and install it on the header collector. DO NOT USE HEADER WRAP! This will overheat your headers and void your warranty. Have them ceramic coated. It has been said that the chrome plating installed by the factory will peel and rust in under a year.
One thing I feel I should address is the infamous exhaust tip. I have a basic $20 stainless steel strait simple 2.5in tip. This is all I would suggest. But there are all kinds of shapes, sizes and styles out there. There is also resonated tips. If you like the sound and want to spend the money, go for it. But there is no power increase, in fact some actually restrict and kill power. Another thing is I always see 4" or even 6" tips on a 2" exhaust. If you like the look go for it, but you wont get any respect from a 'real' racer/mechanic. But I am not trying to tell you what to do, just my opinion. The whole reason to modify your car is to make something -you- like and have fun. Also, I recommend staying away from chrome tips, they chip, peal, rust and are very hard to keep clean looking. Just go with stainless steel, you will thank me in the long run.
Congratulations! You now have a great exhaust system and your car is 10-25hp more powerful.