Thanks for the feedback. After doing a bit of reading on other forums here what i came up with. Let me know what you think...

Pulleys
Pros:
1. Improvement in power across the whole rev range (esp low to mid)
2. Car revs noticeably faster and you notice the power the second you step on it.

Cons:
1. Possible battery problems (doesn't charge battery as much) - new battery?
2. Less power to the accessories (Lights, Power Steering, Wipers etc)
3. Even though the engine is internally balanced, there's really no way to tell how it would affect the engine in the long run.

Headers
Pros:
1. Give a good power increase across the rev range
2. Easy installation
3. No reliability issues (supposedly less risk)

Cons:
1. Slight dips in power in the mid range (3000ish)
2. Possible hissing sounds and vibrations