No need to upgrade ECU mate, not even at 500bhp+ spec, they already decent and run MAP sensor as standard (oh yeah, will need to run a upgraded 3bar MAP sensor and uprated actuator on stg3 onwards, but they cost bugger all, like most cossie bits), can be live mapped as standard, can happily run 1000cc injectors on Cossie managment, and like said, L8/P8 later versions gives you an easy upgrade option for Anti Lag (i mean PROPER on the move antilag, not just launch control ), coilpack ign, and so on, as well as better part throttle drivability if mapped right.
Second hand L8 and P8 ecus cost bugger all really, esp compared to Skyline prices!

Can just plug in a chip at stg 1-3 spec, but a live map will gain you more as its more precise, but not as cheap!

Exhaust- Take your pick, they all 3in bore and decent. Mongoose is prob your best bet.

Filter- Well TBH the stock airbox and a decent panel filter is allegedly good for mega power, but i like the sound when got a big cone filter, lol.
Get hold of what most tuning companies call a "GrpA" one, which is a big filter on a alloy trumpet.

Check out- www.motorsport-developments.co.uk
Stu is your live mapping and general chips and stuff god, decent prices too for jus general tuning stuff, if you search here its easy to get the general feel for whats what and who is what

Getting hold of latest copys of Fast Ford and Performance Ford is a good plan too, tons of adverts for parts, with prices too (none of this £CALL bollocks, lol), so is a good look, and can check out the other cars specs too, as always tons of Cossie feature cars every month.

(Dont bother using search function unless you looking for summat specific, no need, jus keep going back thru the pages and check thread titles, wont have to go back more than a few days to find lots of relelvant info that will teach you plenty)