To do it right you need to change/modify all three. Air in, air out, and fuel mixture/timing. All at once. You'll just be making it run lean if you just change the exhaust. Also if you ride a lot don't go with the open filter.
Well in my experience an open, lightly oiled air filter collects a lot more dust and dirt than a covered one. You can get a high flow K&N that will sit behind a cover and work just as well. I've also been to a big rally and seen someone put the cigarette out in one of the open one's. Isolated case I'm sure but made me think about it.