Like Spdracer said, Torque Monster Headers are a very desirable mod. The stock manifolds truly suck and are prone to leaking. Lots of people have done the install themselves, but you've got to know what you're doing and be very patient. I'm a horrible mechanic so I didn't dare do it myself.
It's an involved job. I had mine done via the assistance of other Explorerforum users. It took a few days to do it right. Paying to get it done would cost a LOT more than $400, unless the guy's charging $50/hour or something (I'd love to find a garage that did good work for that).
I think it's less about a mechanic being good or not and more about a mechanic knowing the intricacies of our trucks. There are lots of great tips and tricks in the archives that people have learned by doing them.
I had my truck for over three years before I got the headers, but I wanted them based on the "hype" on these boards. Believe the hype! I'd pay the $800 again for the headers if I were to do it again. I've had them for 2+ years now. Outside of eating up several sparkplug wires because of inadequate routing on my part, they've been a superb addition to my truck.
I don't know about the 25% increase in mileage. I've never seen much in the way of mileage improvement. That's probably because I stomp it it often.