The downpipes will give you a great bang for the buck power increase. Eliminating the primary cats right near the turbos will yield the biggest power boost. Mid Cat elimination will not increase power as much.
Also the smell might not be too appealing! You will definitely need a tune to eliminate the CEL. Most aftermarket tune options out there have the ability to block the signal from the affected O2 sensor.
You'll definitely see a nice power increase from going with Tune + DP's
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