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Headers i think would be worth it as long as it is paired with the whole exhaust system. I had them on a '01 v6 i had and it opened it up but i should have instaled a cai.
This year I would like to see these mods go on the car:
Ford Racing CAI
True duals with shorty headers, Xpipe, Magnaflows
SCT Livewire tuner
I hope to feel a noticeable gain, The whole setup come to about $1400, I admit thats a lot to spend for a mere 25hp gain, but you have to start somewhere.
cams will drop gas mileage, stage 2 and 2+ (without cams) may actually increase mileage by getting more air in to burn more of the fuel. The key is in the tune and your foot
If your looking for log tube rather than short, theres Pacesetter which I think someone here is running, also StainlessWorks too. SW is expensive but good quality from my understanding