It's a personal preference type thing.

Stainless steel pretty much doesn't rust. There's no performance benefit per se, it's just better materials. If you buy a good quality stainless exhaust it will probably outlast your car (assuming you don't crash it and break the exhaust).

If an exhaust isn't made from stainless, it can either be plain mild steel or aluminized steel, and either one can come with or without some kind of coating.

Some people don't care so much if their exhaust is or is not made from stainless. I personally am a big fan of it.