Rims: as with anything you buy, you get what you pay for. The high priced rims are high priced for a reason. They're lightweight, for one, and reducing the unsprung weight on the suspension is as good as adding HP. It takes less effort for the engine to get a set of 12 pound rims turning than to get a set of 20 pound rims turning. Expensive rims are also made of stronger materials and/or are molded into a rim by different methods. So they're less likley to get bent if you hit a curb or a pothole, and are less likely to peel and/or corrode. I bought my rims so long ago (almost 4 years) I can't even remember what I paid. They're SSR (Speed Star Racing) Integral 16's, they a semi-solid forged rim and weigh only a half pound more than my stock GSR fat fives even though they're an inch bigger. SSR's are a quality rim that isn't super expensive. I've hit some real nasty potholes, no bends. The clearcoat isn't peeling and I've never curbed them in 3 years, the still look great. But yeah, a high quality set of 16-17 inch rims will be over $1,000.
Guages: Never really looked into guages, but I've heard you oughta stay away from Autometer, and probably any other brand in that price range.
Alarms: Alarms are all about the install. You can get yourself a dope ass, $1,000 alarm with every available option, but if it isn't installed well its virtually useless. A theif will find the brain in less than 10 seconds and POOF! It's all over. I'll take a cheap old $200 alarm installed well, rather than the $1,000 joint installed half-ass. A piece of advice from a former installer, give the installation place as much time as you can to install your alarm. They'll be less likely to rush the job if they know they're not on a time table and you'll get a better quality install. Better yet, also offer him a tip to do a real nice job.
sound systems: You get what you pay for here, too. This catagory's way too broad to explain here. Ask a more specific question and I'll help you out.
Headers: Don't pay less than about $300 for a header. Stay away from Chikara, Pacesetter, Tenzo R, Power Tech and the like.