My little brother was following me tonight and when I jumped into the throttle to merge into traffic on a highway he saw a "puff of gray/black smoke" from my exhaust.

Stats: 06 s2
Hks exhaust. 70mm test pipe. K&n fipk.
Ap1 flywheel. Comp stg 2 clutch.
New spark plugs (NGK OEM replacement) 10k miles ago.
Amsoil 10w30 signature series.
78,500 miles.

Thoughts?

 

That is normal for a car with a test pipe. What your brother saw is the leftovers that get burned up by the catalytic converter which you no longer have.