I have a 95 GS eclipse with a cold air intake. I was thinking of doing either headers or exhaust next. What do you all think I should do for the next modification, headers or exhaust?

I would go with the exhaust.  It is cheaper and may show an equal or more of an improvement in hp than the header.  Mufflers are designed to be restrictive, since they are used to lower engine noise.  I recommend either the obx or maxspeed mufflers.  They have a very deep sounding tone.  Check out all these mufflers here:

http://www.2kracing.com/performance-mufflers.shtml

You can also check out the header for your car here made by hotshot which make a very good header!

http://www.2kracing.com/eclipse-exhaust.shtml

I was thinking exhaust too in the back of my mind... Should I go with just the muffler, cat-back, or axel-back? I don't want to pay an arm and leg for installation but I want good performance. Thanks

Well it all depends on your muffler shop.  Here in reseda, ca we have lots of muffler shops so their competitive nature brings down the prices.  You should check with you local muffler shop, they may custom make the axle or cat back for you, for a good price.  That is what we recommend to our local customers who want a bit more performance than just a performance muffler addition.

I just got an axel-back exaust system from ebay. I can't wait to install it and see how it works!!!!!