High Performance Coatings (HPC) is here in SLC and is very involved with Rockcrawling... One of my good customers/freind just had 350 ramhorns done, he loves it. Way cooler under the hood, and no more rust! Check them out on the web... http://www.hpcoatings.com/
I got a quote from Jet-Hot to coat my SOR 6 into 2 header and it was $199, plus shipping both ways. They coat inside and out, looks slick, I just didn't want to spend the money. If I was buying a new header, I'd go that route.
There are a few reasons to get them coated. Cooler engine compartment for one, but you do have to consider where the heat is going to come out. I have seen exhaust heat from coated headers melt a cat. converter.