[CrazyAl]

In a nutshell:

Axle back swap (AKA mufflers only) = Louder, but no HP gain to speak of.

Cat-back, is basically the same as the above, except it should remove a slight restriction from where the OEM tubes are crimped. HP gains are very slightly, if at all, better than the axle-back. (probably not worth the money)

Aftermarket X or H pipe, 'off-road' style (no Cats) = Louder and HP gain, but not legal for emissions. Will give you hassles due to messed up O2 sensor readings. You either have to deal with the "check engine light" or you have to buy "oxygen sensor simulators" to fix the problem.

X-or H pipe with High Flow Cats = Similar to the above, but the HP gain is not quite as much as the 'off-road' pipe. But, should be emissions legal in most places except California, and no O2 sensor problems.

Shorty Headers: about 5 HP gain over stock manifolds. (IMHO, not worth the money. They are still expensive, and have just as much labor required to install as Long-tube headers, but only a fraction of the HP)

Long-tube headers: This is where the biggest HP gain is to be had in the exhaust system. Reports vary, anywhere from 20-30 HP.