GENERALLY...
You can switch out the muffler, tailpipe, etc as long as you retain some sort of cat. converter and muffler. As long as it is not uber loud, you should be fine. Do they have Smog tests up in Mass.? if so you will need to be able to pass that.
Lights... Personally, I think euro's look ghey..but if that's your thing...Police are pretty strict on these, expect ot get a ticket or at least hasseled by your local LEO for these. Same goes for black out lenses and such for
headlights and taillights.
Air Filteration.. this varies from state to state a good bit. As long as the kit has a DOT/SMOG approval with it, you should be fine. These kits have a sticker that come with them saying they are street legal which is placed on the unit. I have fabbed my own air intake, but down here in louuuisianna they are not too strict on anything like this. I would ask around on this topic with the local guys.
what is a reverse glow gauge?