1st- I had the K&N Drop in filter, I didin't notice an increase in improvement but the engine seemed to run smoother.
Now I have the K&N Filtercharger and love it.

2nd- I don't have an aftermarkte exhaust but I plan on getting one when I get home.

3rd- Any modifications to the Xterra only affect your waranty if the dealer can prove that the modification caused the damage that is being fixed under waranty. I.E. if you get the aftermarket exhaust and your suspension goes out the dealer still has to do the work under waranty because the parts are unrelated.

The extra HP gained by the intake and exhaust aren't going to be more than 3-5 HP a piece so it will be hard to "feel" much more power. Some people here say they know for a fact that the HP is worth it, others say that the HP is negligable.
In my opinion anything helps.