Your mileage may vary but my buddy spent 6-8 hours modifying eBay headers to fit properly on his M coupe. He saved nearly $800 but in no way was it a "bolt-on" experience.
Post tune power gains are identical to the more expensive exhaust brands and the money saved went towards upgrading the engine and tuning the car.
There is a header option for every budget out there, cannot seem to find a comparison thread (like there is for mufflers).
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