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I noticed that tonight when I get on the gas and shift smoke comes out of the exhaust. The only things I have done to the car are headers, cat-back, cold air and resonator. What could be the cause?

 
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how new is your exhaust?

all new exhaust will smoke for about a week to burn off the gunks in the pipings.

 
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Yes, exhaust's will smoke for a while after being replaced, a week is a little long depends how much u drive tho.

What colour is the smoke?

The colour will tell u a lot if something is wrong such as white smoke = water burning and blue smoke = burning oil

 
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ok, smoke shouldnt come out, but in your case, I am 100% positive that smoke comes out sometimes when you get on the gas is because you have no cat, if you added a resonator and replaced it with your stock cat having no cat will cause smoke.

 
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ok its definately your megan resonator

 
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thought it was but wanted to be sure. yeah I have had the exhaust for awhile I know it isnt that.