If you get a good down pipe from the turbo back it can make a big difference. My nissan silivia s15 made 40rear wheel kilowatts more with the help of a full exhaust from turbo back and performance air filter. Now this just wasnt the exhaust/filter that made the gains it was because my boost pressure went from 7-8 psi to almost 13psi thanks to the increased flow. If you have a internally gated turbo then a seperate waste gate pipe does wonders for response and power.
Here is a picture of my dump/down pipe with seperate waste gate pipe that joins further down for the s15:
I also got some made up for my twin turbo 1jz supra: