Most everybody is correct, one piece is better than two..some will have issues with O2 bungs lining up and sometimes the gaskets suck.
One thing nobody has mentioned though is with cheap headers, the metal flex pipes tend to leak and tear up over time. This will cause a nasty hiss or a whistle which gets really really annoying.

Also, if you can spend the extra 25 or 30 bucks, try and get a stainless steel or cermaic coated one instead of a "chrome polished ones." The chromy ones will rust out after a month and look like crap and tend to break faster.