Gray:
The cat delete is well known and well respected. It will improve both throttle response and peak HP (on a turbo), and will have no significant sound signature affect. It is THE best upgrade for the dollar you can do (other than using good lubricants). The engine will also run a bit cooler, although not lots, for we're stuck with the 180 degree thermostat.
Eric:
I have a pretty complete post on aftermarket exhaust and HP implications, and if you want a lot of details I suggest you find it and read it over. However: The cat will rob peak HP, and the significant heat from the cat will both affect lag (which equals power at any point in time) and to some degree again peak HP. It's all about pressure differential at the turbo vanes.
There is, however, no reason to hunt the "how loud can it be" crowd. Most aftermarkets are simply too loud, although its possible to build them and make them quiet enough. I built mine, as an example. There is a full thread on that in the DIY section too.