i personally use K&N oil filter with Castrol GTX oil and regular tranny fluid (if you don't have the CVT tranny) and haven't had any problems.
but alot of guys seem to prefer going synthetic. but you run the risk of having leaks when you switch over.
only thing i know you shouldn't change is giving ur 2.5L premmy gas. others have said they run mid grade, but i know if i try to run anything less than 93 octane, my engine starts to knock.
also, if you haven't been told about it, then look into the 'butterfly screws' and 'pre-cat/header fix' for the QR25DE engine in the 02-06 sentra's