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I'm sure you will get lots of opinions but here is mine. Install a good replacement muffler (ex. Magnaflow Muffler #12226) and just enough extra pipe to remove the restriction is all you "really" need to do lower backpressure and possible exhaust gas temp. If you do anything beyond that (other than leaving an internally gutted cat in place) save what you remove so it can be reinstalled if emission regs change where you live, if you move, or if you sell the vehicle.
IMHO just the muffler is a good step, not critical but good, while the rest can be problemmatic. If you have the money get a GDE tune, if you don't have the money save until you can get a GDE tune.
On to other things, welcome, read Sam's NOOB guide, remember the timing belt MUST be replaced at or near 100,000 miles, the beast does not like fluids other than those recommended (tranny ATF+4, coolant HOAT only no "universal", and good synthetic proper weight diesel rated oil - if in doubt drain/flush/fill), if you download factory service manuals from Sam's site get both 05 and 06 (05 lacks diesel cooling system data and general diagnostics but has illustration keys while 06 is the reverse)
_________________ Sold to LOST member my 05 Ltd, GDE Stg II turbo + TCM tune, SunCoast TC w. Transgo kit, Steiger window regulators, Samcos, Fumoto valve, 2nd gen filter head with Lub. Spec. bleeder, Hayden clutch & 11 blade fan, inverted spare, P-1 battery, BF Goodrich Long Trail TAs, Etecno1 glow plugs, timing belt at 50K miles/8 yrs
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