There's a myriad of options to most of your questions, except perhaps one.
The only "bolt-on headers" available are the Kook's mid-length SS headers. If you wish you can use Mustang headers by modifying the tube assemblies but honestly could not say they would be better. Almost any choice will require modification to the steering shaft.
If expense is not a concern, I will tell you that I at one time contacted Kook's directly and was told I could bring my car to their facility and they would custom manufacture a one-off long-tube header installation to fit.
Honestly, in my opinion, if you're going to supercharge the car, performance headers are probably not worth the consideration since boost makes up for a lot of inefficiencies - both intake and exhaust. That being said, another worthy consideration in lieu of performance headers are the Cobra exhaust manifolds.
The 'best' supercharger? That's likely a debate trigger, the more important questions are after-cooling and whether you want centrifugal or screw-type positive displacement. The latter is best for "instant" torque and the former requires less specific engine modifications. I've seen pretty impressive build using both. And just to muddy the water even more, there have been a few "terminator" Mark VIII's built with the '03-'04 Cobra engine swaps.
As for the suspension questions, and again in my opinion, the best compressor and bags are OEM. But it can be somewhat improved upon with a "spider valve" vent system and/or aftermarket height control.
I've not known of anyone using a modern "magneride" suspension on a Mark VIII but I would envision it could be done with appropriate modifications and some type of control unit.