AEM makes the top intakes for saturns. If you have a manual tranny, you have both cold & warm air intake options. If you have an auto, a cold air intake is gonna be tough - I believe it would have to be custom.
Headers and exhaust I know less about, but they are availible, and many people have done them.
Some places you might check out (and others should feel free to add to the list):
http://www.saturnmotorsports.com/ http://www.spswebpage.com http://www.s-icon.com
Look around for what places people recommend, and what products they recommend. Sometimes getting junkyard parts and making it yourself is the best option, but there are parts out there.