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A cold air intake is a waste of money. The OEM intake is very well designed. A simple filter upgrade will do just fine. A lot of intakes will generate extra power by leaning out your air:fuel ratio, which is not necessarily a good thing and could give the dealer something to blame failures on.
A catback exhaust shouldn't cause any warranty problems. The dealer has to be able to identify the aftermarket part as the cause of the problem in order to deny the warranty, so unless your tips are melting the rear fascia, you should be good.
Coilovers may be a bit more argumentative. Say you have an engine problem that was due to a bolt vibrating out or something like that. The dealer could argue that the stiffer suspension played a key role in increasing vibrations and contributed to the failure. Then you'd have to get an attorney and fight them that way.
The Magnuson-Moss Warranty Act is your friend in those situations.
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