blo498,
I think you'll probably struggle to find hard data about bhp difference. The big difference is in the torque curve. If yours is standard like mine I found that there was little power below 4000-4500 revs. First drive with new exhaust was an eye-opener. The power comes in about 1000 revs earlier (or at least that's what it feels like)! The whole engine seems to rev much more freely. It is worthwhile upgrade.
I have the standard ECU in mine (1999 probably EU2). I've kept the lambda sensor in one of the primaries in side the engine bay. I've been told it is ideal to have the sensor at the junction in the collector but this means it has to be outside the car - ugly and bound to be broken.
I have kept the cat because I'm unsure about emmisions rules and my first MOT comes up shortly. There is not enough room to have a long primary exhaust with 4-2-1 collector and cat down the side of the car. Therefore I've had my exhaust made for me (cheaper than caterham). I've got a 4-1 into my cat'd silencer but wold like 4-2-1. I had the manifold made such that the pipes emerge from the engine bay in the right arrangement to take off the 4-1 collector and replace it with a 4-2-1 collector and cat free silencer. (Certain pipes need to be paired for the 4-2 bit.) The plan is to have a second lambda takeoff at the collector. In response to an earlier thread oilyhands suggested that you only need the lambda for ECU setup - it that then be removed (with the M3DK). When I get my Emerald ECU this what I'll do and blank off both lambdas.
Oh, yeah - my custom s/steel manifold was £350 fitted.
Hole in the sideskin needed some tidying, otherwise job was a good'un.