If it's manual the 2.5" should be good, mufflers just depends on how quiet/loud you want it to be. Mufflers will be the biggest factor in cost of the exhaust, though you should be able to find extractors and a cat-back cheap 2nd hand on the r31 club.
Panel filter is as you guessed, a filter for the stock airbox. If you get a good flowing one and cut a hole in the front of the airbox to let more cold air flow into it, it'll be better than simply chucking on a pod as sooo many people do. If you just put on a pod without a good airbox setup, then you will just be sucking in hot air, and in most states it's a defect anyway.
25 head is simply not worth it unless you can do all the work yourself and manage to get the bits cheap. RB30DE is cool, but staying n/a the bang for your buck just isn't worth it IMO.
Advance timing costs you as much as a timing light, again worth reading up on it in the tech section of R31SC. Or darkhalf on the club sells remaped ECU's for around $110 plus send back your stock ecu to him, which as everyone on the club will agree are well worth the money.
After that things get expensive and not really worth it. Things like twin cam conversion, or just getting a nicely upgraded cam, aftermarket ECU etc...