My opinion is that the exhaust is going through a metal tube and it doesn't care who made it or how much it cost. What I have seen is the difference between the brands is the quality of the materials used, the craftsmanship and the fitment. But, when comparing a $300 set of headers to a $1300 set, if the inner diameter of the tubes and the bends and general shape is the same, I don't see how one would perform better over the other.
As far as sound, they should have the same affect on sound if they are both the same material and thickness.
Kooks and American Racing are known to be the best fitting and made with the best quality of materials. Personally, I'm likely to go with a $300 set of Speed Engineering headers because I can modify them for fit if need-be. They seem to have their fitment issues sorted out, though. Your engine mounts just have to be in good shape. Although they are stainless, they're probably not the same grade as what the more expensive brands use but rust isn't a concern where I live. I'd like to have them coated for temperature and sound containment which, in my opinion, would make them better than the premium brands and still be cheaper overall.
A tune is not absolutely necessary, but it will certainly optimize the gains from the headers. This applies to any of the other functional mods (muffler, intake, etc.).