Ok. Some headers are just the headers alone. The area between where the header ends and a catback exhaust begins is bridged by a downpipe. Some header(s) come with downpipes, some do not. The HotShot, NISMO, and SS Autochrome do not. If you chose to run these with your stock downpipe, you will still have a cat but you will not fully benefit from the full possible performance. VRS and HP Autoworks make downpipes for our cars in 2.5 inch mandrel bent piping (neither has a cat). Emissions vary by state and many now use a system called OBD2 (On Board Diagnostics). Sometimes a header hookup will throw a CEL; this is generally caused by the O2 sensor. If you are running with no cats, you will surely throw a CEL. If you are running a cat, you may or may not. A ghetto but effecient way to get by this is called an O2 sim which literally tricks the O2 sensor. They cost about 10 bucks. The AEBS, DC Sports, and OBX (IIRC) do have a downpipe. The AEBS has a high flow cat as well. You can do daily driving with or without a cat. Without a cat, passing emissions will be a pain, your car may stink, it will probably sound bad and a good bit louder (and a horrible buzzing sound if you leave the stock exhaust on), and may throw a CEL. A high flow cat will only kill about 2WHP on our cars IIRC.
As far as header slection, the Kamagoozie is crap as well as the SS, OBX, WR and quite a few other names. They do not give the power gains, they are poorly built and do not hold up well over time. Maybe I am picky but I only like the NISMO, HotShot and especially the AEBS. The AEBS is best overall in terms of sound quality, build quality and dyno gains. If you dont believe me, check NPM's Performance Spec V, they are running the AEBS. Keep in mind this also has a high flow cat so it will be more likely to pass emissions in your area. Some guys I know have gutted the cats on their AEBS header and their trap speeds at the 1320 are on average about 4 MPH higher than a normal header and and downpipe. The AEBS is meant for a big buildup but as far as quality, it wont crap out on you.
A few other things to remember. The header style for our car has two elementary designs; a 4-2-1 and a 4-1.
A 4-2-1 header will generally give you more low and mid end power.
A 4-1 header will generally give you more top end power.
Also, when you put on an aftermarket header, it is always a good idea to replace your exhaust manifold gasket with a new one. They are about 8 bucks and considering if your existing one is in bad condition, you could spring a leak. That means having to remove and reinstall.
As far as material, almost all of the header types for our car are mild steel and ceramic coated. While the finish may be inferior to stainless, the heat seems to dissapate quicker with mild steel not to mention it keeps costs down. The only T304 stainless steel header for our car now is the NISMO.