Any exhaust that's attached to a bigger engine. ;-)
Really though, I would imagine you would get bigger gains out of intake modification, but no matter what you do to this little engine you aren't going to get much out of it until you dump loads of money into it, like a turbo. I haven't looked much into it, but it looks like Groms gain around 1 hp(at the wheel) with exhaust AND intake. I guess in the grand scheme of things a 10-12% power increase may not be too bad.
Anyone have links to before and after dynos for Z125 exhaust mods?