Fred, welcome to KLRforum and your new to you '06. Is it a Greenie?
Read, read, read!
-Sounds like you really want to add an aftermarket exhaust. That is the most expensive and least effective. The stock exhaust sounds wimpy but it will do all you need all the way through a 685 kit.
-If you want to spend $450 purchase and install a 685 kit and you will see the most for bang for your buck you will ever experience with a KLR.
-Eagle Doohickey with Torsion spring as soon as possible.
-Eagle fork brace, new fork oil set at 180mm-170mm, MotoWizard Preload Adjusters, Progressive springs, either Ricor Fork Valves or Racetech Gold Valves.
-Adjust steering stem.
-Set the sag.
-Tires and Tire pressure.
-Adjust the rear shock Preload and Rebound.
Check your gas mileage before you start making changes. Make as few changes at one times as possible. Your gas milesage will tell you if all is well.
-UNI air cleaner.
-Adjust the valves.
-22 cent mod. Start with one #4 stainless steel washer.
-Adjust the pilot jet screw 1 3/4 to 2 1/4 turns.
-Remove the Air Intake Grommet (BaaWaa factor).
Loosen and re-torque Everything.
This should get you started.
Oh, and a KLR is not a HD. Stick to KLR proven mods.
2005 KLR 685
2015 Yamaha Super Tenere ES, 5/23/2015
2012 Yamaha Super Tenere; Purchased 7/30/2011; Sold 5/23/2015