Stainless. I personally feel it's worth the extra money to put something in the engine bay that looks good. I've been there, done that... went the cheap route before, and got sick of iron and aluminized... they always look like crap after a few years... even if you paint them.

Theoretically, thermal wrap will decrease the life of your headers, but I have yet to meet anyone not driving a 10,000 rpm racing car who's had a header fail because of thermal wrap...