What is your budget? That will basically determine what you will get. There are countless headers in the $500-$800 range that will (mostly) eliminate the torque dip with an OFT and provide average gains. If you want to go big, I've had great results with an ACE A-350, but you would want ECUtek to get the most of it (something you will want anyways when you go SC).
This video shows my old UEL header (Revworks) against my
ACE A-350 header. Both tuned with ECUtek. Really it just comes down to $$, most people would be totally satisfied with any of the common UEL/EL headers and an OFT or ECUtek tune.
EDIT: and no you don't need an exhaust unless you want to change the sound.
[ame]http://www.youtube.com/watch?v=ggQspB1P7a4[/ame]