Most "tuner" shops should definitely be able to handle simple mod installs such as exhaust, intake, etc., and will likely have suppliers that can get them the parts you want. In many/most cases buying through a shop is likely to cost more than what you could get directly, other than shipping cost considerations, but some shops might be hesitant to install anything but their own-sourced parts.
I highly recommend a skilled, reputable shop that specializes in the type of vehicle you are modding to do anything beyond very simple upgrades (e.g., headwork, fuel system, turbo upgrades, custom tuning, even header installs). Your mileage may vary widely with the quality/knowledge/skill of various tuner shops. Also keep an eye out for shops that will actually warranty their work; they're few and far between but most that will stick their neck out are confident in their ability to deliver. And they're like to charge a decent amount too. Most of the time, you get what you pay for- but quality shops like that will have a solid reputation that I'm sure some folks on this board will be able to vouch for.
I actually don't have any plans at all on modding my car at the moment so I haven't done the research, but just a cursory search led me to these guys very close to me in Hanover, MD, AtSpeed:
http://www.m3post.com/forums/showthread.php?t=310445
Depending where you're at in Virginia, Hanover might be a justifiable distance if these guys are noticeably better than your local shops. I just came from an STI, and I wouldn't go anywhere other than IAG and I had a ~45 minute drive to Westminster every time I needed to do something. Also might want to plan in some lead-time... high quality shops tend to form queues very quickly and it could be several weeks before you'll be able to get in.