Just as a heads up, if you buy painted headers, the paint will most likely flake off in no time due to the high amount of heat generated from the exhaust gases.
If you want power, balance is key. You can see small performance gains just by replacing the muffler(s). However, if you have custom piping done, routed the right way, and in the right size (not too big, not too small) you should notice a bigger difference. There's some nice cat-back setups out there as well if you look around.
I'm currently debating my exhaust plans as well. I'm going to have to buy shorties too since I don't think long tubes would be legal where I live, which happens to be the state with the harshest smog laws (California). And I will either have to keep my stock cats, or use the CA legal Magnaflows. (Which will be a pain in the ass since you aren't even supposed to replace a catalytic converter unless its malfunctioning)... see what I mean about "harshest laws"? haha.