I keep seeing cold air intakes on eBay... I have no idea what they're for, what they do, are they worth getting, are they easy to install, etc...?

 

If it's a true cold air it's a royal pain in the ass too install. The stock intake system is very efficient as it is. seems to me the exhaust is the same way.

FYI, never buy super cheap parts on Ebay. They suck!

 

Take a look at the FAQs in Technical. You'll see lots of stuff in there that may give you some insight. Here, I'll even give you the link this time:
https://www.s2ki.com/forums/index.php?showtopic=108435