Like I have mention before, there is no one 'Proven' best exhaust for a stock or mildly tuned 8v or 16v VT saxo.
Any of the leading Stainless steel sports exhaust Magnex/Janspeed/Piper/Mongoose/Scorpion will perform well on any car with very little difference in performance but mainly in noise ie exhaust note which will be greatly effected by the size of the tialpipe.
There are other brands out there in mild steel which steel come under sports exhausts
Remus/Supersprint/Jetex/Sebring
but these are harder to come by as they brought in from europe and generally cost around the same price as a Stainless steel item.
For the best gains from ANY exhaust change the exhaust manifold to a better designed 4branch item and maybe a decat, remember tho removing the car will make the car non MoT passable and it will need to be returned to the car before the MoT.
As for Airfilters your best bet is to go for a filter that is enclosed in a casing to protect it from heat in the engine bay - There are loads out there at varing costs.
Best advice is to start with
www.kam-racing.com look at what they sell as they are a parnter to Saxp and then deside what takes your fancy and fits your budget then either discuss on here on ask Kam-racing directly which products are best for you.
Hope that helps, abit long but exhaust and airfilters is a huge subject to kram into one sort answer but still having enough information to get the point over