RPMs don't change but headers add torque everywhere. Sound won't be that much louder with the stock exhaust but all the aftermarket exhausts will be seriously louder.
If you want the most bang for your buck, skip everything else and just do headers and a gear change
Dinan CAI &Throttle body, ESS Tuning TS2, Bimmerbrakes gen3 headers, UUC SSK & DSSR. Achilles oil pump, VAC oil pan baffle
M3 Motor mounts, UUC Trans mounts, Modified clutch style LSD 3.15, TMS front subframe reinforcement, Koni Yellow sports,
H&R sport springs, UUC sway bars, BMW Perf. Rotors, UUC SS brake lines, Hawk HPS pads, CSL replica wheels,
Rotora strut bar, FXR HID conversion, M3 Mirror conversion, BSW stage 1 speakers