On the 96-99 GS-R there is no O2 sensor in the header, so you don't have to worry about that. There is one at the front of the cat and one at the rear.

I'd pick up a Comptech 4-2-1 or DC Sports 4-2-1. I recently picked up a used (but great condition) DC Sports 4-2-1 header for $95 shipped and have been happy so far.

Installation is not too hard... just remember to use a torque wrench on the exhaust manifold bolts so that you don't break anything.