Note: to pass emissions you need a cat, so you'll need one eventually regardless of what you decide.
My catalytic converter got stolen a few weeks back so I went through the same dilemma. First I thought of replacing the exhaust without a new cat. I bought a Doug Thorley (Jardine) cat-back exhaust, completely overlooking the fact that I needed a cat. I then had to buy a new cat and wait for shipping. The shop quoted $1,100 for stock replacement and $490 for aftermarket. I bought an Eastern Catalytic Converter from Auto Parts Warehouse for $200.
Installing was very simple until it came to replacing the cat. The old bolts were too rusted and I took it to a shop. They had to drill and tap them and said it was a pain to get off. I had already installed the cat-back exhaust and this install cost me $500 since they said the old o2 sensor was rusted onto the pipe and broke coming off. The other sensor was fine and is still there.
All in all, I am happy. I've been thinking about replacing the exhaust for a while now and this gave me an excuse. It is faster, more responsive, and louder, but not ricey loud, powerful loud. (my roomate knows when I park outside the apartment because she hears me driving up, both the bass and the exhaust).
I spent $225 on the cat-back, $200 on the cat. Without rust, you can install it yourself, and you should if possible, dont waste your money with the shop since its so easy. However, since I bought my setup, they jacked the prices up. The cat-back is now $325 and the cat is $225 but compared to other systems that is still a great deal (many cat-backs like Borla or Magnaflow cost $500-$650 and then you still need the cat).
Here are links if you're interested:
Catalytic Converters (not just the one I got, but mine is second from the top)
http://www.autopartswarehouse.com/search/?N=11779+1725+4294967272+5760
Doug Thorley Cat-Back Exhaust:
http://www.autoanything.com/exhausts-mufflers/60A2788A0A0A2117601.aspx
I am thinking about replacing my other o2 sensor, since i have 1 new one, and an all new exhaust system. If anyone has suggestions as to whether or not this would be a smart idea, let me know. They're cheaper online (ive seen about $60) so I might just go ahead, dont want an old, weak link in the system.