If you do a search about headers on the 91-94, or even just on the 4.0L OHV in general, you'll find a few threads with performance results and even dyno numbers.
The short version is that the cheap junk headers (pacesetter) and usually okay headers(heddman) are just bent up mild steel, and have poor quality construction, especially at the head flange. The cost savings of cheap headers is made up for in trying to get them to fit on and not leak.
Even good stainless steel headers (Borla, JBA) only give a slight (+/- 2 HP, yes, that's 2 HP) gain on a dyno, but cause underhood temps to skyrocket. Yikes.
The only improvement-all-around is had by dropping the dough ($600) on a set of ceramic coated JBAs. They flow more, and the ceramic coating keeps the temps in check.
Of course, now that you have a set of high flow headers, you'll have to spring for the high flow stainless steel catalytic converter to go with it (either the magnaflow stock replacement ($200) or a universal single 3-way.
Then you'll need a catback system behind all that. It's a waste to do anything other than mandrel bent tubes, so you can either get a Dynomax setup for a 91-92 with the Ultra Flo straight-through muffler, or just get the Dynomax/Walker pipes and throw in your own muffler (Borla or JBA would be good choices here). Or go all the way and get a custom mandrel-bent system with your choice of muffler at one of the few exhaust shops in the nation that can mandrel bend tubes. Or have someone weld up a system with mandrel pieces.
After all is said and done, you'll have a $1000+ exhaust system.
OR you could just get the Dynomax Super Turbo cat-back (or the Flowmaster if you like those better for some reason), and/or throw some other muffler on the ride, and get a pretty big improvement over the stock or stock replacement muffler for $100-200.
The only reason to go all-out on the exhaust is when the engine has a lot of internal mods (cam, high compression from pistons/heads, port/polish, etc.), is tuned for torque/HP at mid to high RPMs (the stock OHV makes max torque at 2200-2500 RPM), or otherwise just needs to get exhaust gases out faster than the stock manifolds will allow.
By far the biggest bottleneck in the system is the muffler and 2" cat-to-muffler and muffler-to-tail pipe. The stock manifolds, Y-pipe, and catalytic converter are good enough for stock to mild mods, and it's most cost efficient to replace the muffler and rear pipes based on your needs and preferences.