Get a MHG (metal head gasket) from HKS, Greddy, etc., etc. and some ARP head bolts or [head] studs. An OEM gasket with added torque is believed by some to be reliable, but it's just not the greatest route to go. A MHG will cost you anywhere from $120-$300+, but if you're going for modest power, a slim one (1-1.2mm) will do you just fine. ARP bolts or studs will cost you around $100 for the set.
There are plenty of exhausts to choose from that will keep you ticket free (for noise only). You need to give more information on just how loud you want it to be. A decent exhaust can cost you from $300-$700.
A MAF-T (Pro or original) is a GM Mass Air Flow Translator. With this you switch to a GM MAF instead of the Toyota AFM, which is more restrictive than a decent-sized MAF (3-3.5"). The kit comes with a little tuning "module" and allows you to do minor tuning. A piggy back fuel computer is recommended for more fine tuning but not absolutely necessary. I have a MAF-T but haven't used it yet. I highly recommend it from what I know. The MAF-T Pro costs $400 and the original MAF-T is closer to $300 if I'm not mistaken.
550s are 550cc injectors. 440s are stock. Most MKIII guys do a 550/Lexus 4.0L V8 (1UZ-FE) AFM upgrade, but the MAF-T has officially stolen the 1UZ AFM's thunder. I run RC 550s and a Suprasport.com 1UZ replica AFM and this does away with the ridiculously low [yet safe] stock fuel cut (11.5-12.7 PSI depending on A/F ratio). 550s will cost you $400-ish and a used 1UZ AFM goes for $100 plus.
Walbro refers to a Walbro 255 LPH (liter per hour) fuel pump. You need a faster, more reliable fuel pump than OEM if you want to significantly increase boost. I have one and once again, it's uninstalled (October, fellas). The pump costs around $100.
Before you do anything to your car you better damn well be knowledgeable enough to perform the work yourself if you intend to. If you have the least bit of doubt in yourself before installing something and taking the chance of making a mistake, either ask some of the guys here for assistance or try to find a performance shop in your area that is fair and honest.
I've made mistakes on my Supra that it has not totally overcome. It's all a learning experience and I've learned not to do anything beyond my capability. If I had waited 2-3 more years (time-permitting) to do my MHG job then things would have turned out much better. I'm not talking anything remotely catasrophic here, but the smallest mistakes can make a car-especially a turbo car-run like shit.
Good luck to you and welcome to the MKIII Supra community. Let the addiction start...