I installed headers on my H2. I did notice a slight increase in MPG, but did notice much better throttle responce and performance. I went with the other guys headers, very good quality and they are cermic coated so they should last.
http://www.theotherguysproducts.com/ I would have been fine with just the headers, cold air intake and program chip, but then I made the mistake of driving a H2 with the Magna Charger. Makes the H2 a completely different vehicle.