It is that! I have a res Milltek and it is almost un-noticable during normal driving, open it up and i'm told it sounds like a jet engine going down the road. Car's remapped so maybe louder but even when it was standard it was lovely.
I'd say exhaust to make it sound lovely, I had a stock panel filter in the stock airbox and after exhaust fitting it sounded much better!
Air filters will make more of an induction noise, sucking if you like, but it's not that noticeable until you get a remap.
Those are my experiences, doesn't mean i'm right or wrong!
G