We get asked all the time about exhausts/headers, etc. so I'm going to give you my thoughts and recommendations.
Audi/VW = Milltek
BMW = Supersprint
Exotics = Capristo or Quicksilver
Here is a picture of the Supersprint headers for the BMW M5. You can see the excellent build quality and these give you real power gains, that's why they're used and recommended by the best BMW tuners in the world.
With Supersprint headers, you'll never get a check engine light. Even though the 02 sensors can be disabled, it's not recommended. Every sensor in a car has a purpose.