I just got a 2000 EX, and wanna do some work to it.. Can anyone tell me what the stock HP is???

127 at the flywheel. You're probably lookin at about 105 or 110 at the wheels.

And if I add an AEM cold air filter how much HP gain should I expect?

Aem claims an additional 8 horses. Dyno tests have proven that to be accurate. You should feel a difference at high rpm. A good cat back exhaust should give you a nice low end pick up. From what I've read Thermal is a good system at a good price. With the exhaust and intake you'll be looking at around an extra 15 to 20 horses throughout the rpm range.