Axle-backs give you a small boost in power(guessing around 10 rwhp) and relatively good gains in sound over stock for about $300-400 avg??? The more you replace going towards the front of the car the more sound and power you get, but could run you well over $1000 depending on what you get. The biggest cost factor in that is what type of headers you get...both in style and if they are coated or not. Each step up in runner length gives you step up in power. Coatings will smooth the flow of the gases and reduce the temperature.
shorty direct replacement(same configuration as factory, but more efficient)
equal length(all the runners are the same length and snake around eachother)
Shorties WILL bolt up to factory pipes.
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long tubes(these will not bolt up to factory pipes requiring a shorter h or x pipe)
I believe the power gains from high to low are headers, mufflers then mid pipes. Most full systems I believe can gain you about 50hp??? Anybody more qualified want to answer that better?
The hardest part it seems outside of the cost is finding the sound you like vs. the power you want...just read any of the exhaust threads on here and you will discover many different combos and tastes.