I am assuming you will have a tune to take advantage of the aftermarket downpipes. If you go catted, you will give up MAYBE 1-3 hp compared to the catless DPs. You can expect to gain about 20 hp over stock, and you will feel that low end torque kick in.
This will allow you to pass emissions and keep you dealer friendly

, but the cats need to be the high flow cats though, such as on the downpipes from PPE or LME. Other brands may or may not work. If you go catless, be prepared for the possibility of smoke from the tailpipes, especially under hard acceleration. Back pressure (or rather lack thereof with catless) has been blamed for turbos going bad, though this is hardly a settled issue.
The x pipe is a personal choice, one you can decide on when/if you go with an aftermaket catback system. But from what I gather, the SHO does not sound good without the resonator. You'd need to at least change mufflers with that delete. The Corsa catback design has a built in X pipe design, and it does sound good in all the clips I have heard, so that is an exception.