Headers will actually give you very little in the sound department, maybe a hint more aggressive exhaust note. Performance definitely gives you an improvement... but I continue to ask myself whether it was worth $400 and 12 hours of labor. I would certainly recommend doing pulley and perhaps e-fan first, if you're still not satisfied then move onto headers. As to how much Horsepower? I believe (correct me if I'm mistaken) it's about 12 horsepower. Whereas the UD pulley is dynoed at 8 hp + efan maybe 2hp? = 10 hp. If you want to save some money and intense labor.. go the pulley and e fan route.
Warranty is not voided by header installation. So says JBA :)