Some local municipalities have passed "nuisance" laws regarding car exhaust (obviously aimed at ricers). Messing with the cats is federal law - big fines for getting caught breaking those.
I know PA has a law regarding exhaust and it specifies decibel levels and strict testing methods to determine compliance. Basically, the test is so strict and needs to be run at a State Police facility, so unless you are running straight headers I doubt anyone ever gets cited for it.
The lighting stuff is pretty standard - taillamps must be red, turn signal indicators must be red or yellow on rear, yellow on front. Headlamps must be within a certain wavelength (color) unless certified by the OEM (no aftermarket HID kits or blue bulbs). Basically the stuff Pete mentioned. Extra lights aren't legal (underbody neons, windshield LEDs) while driving here.
As far as PA goes, all of their laws read: "Nobody may operate a vehicle on a highway in PA with/without blah blah etc.", so technically you *could* be cited for violating PA law even though you are compliant at home. I know the police stake out Carlisle car shows looking for cars with excess tint (anything darker than 70% light transmittance is "illegal" in PA) and citing them as they wait to get in, even (or especially) out of state drivers.
Basically, the police will bother you if they think you are out to street race or they are suspicious of what you are doing in the area, as long as you have *anything* aftermarket on your car. Just an excuse to get a peek in the car, really.
