For aesthetics and performance go with headers. They one of the best bang-for-the-buck performance parts. I like my Doug Thorley Tri-Y's; not 100% satisfied with the quality of coating (I'm real picky), but its not a show truck, so I'll live with it.
The only con's I've ever heard of are added heat (cured with the ceramic coating), warping flanges (a quality header will have 3/8" thick flanges, so warping is a non-issue), and loosening fasteners (quality gaskets solve this and there are a few options for locking bolts). Also you'll likely have to either modify you're factory AC brakets or fabricate/buy an adapter.
Oh, and when you make the right decision to install you're ceramic coated headers, tape the entire thing with masking tape before attempting to put it in. It'll save you few knicks and scratches in the finish, at least if you're as clumsy as me, and it'll be fun picking it all off when it's finally in.