intake and exhaust

Ok, I have a few questions here.  First I want to know about those who have 2.5 liter expirence.  If I add an exhaust and intake to my 4banger how is this going to mess with the engine.  I know all the pros that the manufacturer lists of having them, but are there going to be any sensor issuses, fuel, or compression problems that would fall in the cons department.  If so, what are the precautions I might take, or things to expect?  I am trying to max the fuel econ here while trying to run 35's.  My banger is going to working hard, got that, I just don't want to make it's life harder than what it needs to be.  

My TJ's stats as of now... 2001 TJ, 2.5 liter SE with 5 speed standard.  Stock everything right now.  Future plans are 2.5 inch Skyjacker with some extensive trimming along with some tube fenders to clear the 35 inch KM2's on 15's.  Homemade front and rear bumps.  Airaid intake, and borla exhaust( wish borla made a header and header pipe to fit an 01 too).  4.11 gearing with superior super 30 and 35 axle kits.  Thinking OX locker on the rear and leaving the front alone, not for sure on that though.  Ramesy's new entry level 8500 winch, and still trying to pick out a new ignition system kit.  Looking at a Deamon Coil set right now, maybe MSD.  Trying to keep the center of grav low but still maintain ride hight for clearence.  Looking at mostly trail riding, with a test trip to MOAB eventually.  Hope the small Dana's hold up.  Any input would be awesome.  Thanks guys