I've wrapped headers on my GMC 1/2 ton, and on a couple of sleds. I didn't do it for the extra ponies, since I really didn't notice any advantage. Probably an average Joe wouldn't expect and increase in power.
The main reason I wrapped the pipes was for heat protection. On the GMC, the headers melted some poorly placed wire harnesses (not by me, of course). I liked the look and I especially like the look of the electrical harness that didn't melt!
In the Great White North, we really don't have an issue with heat. Hey, we're up here cheering for Global Warming! Bring it on!
Cosmetics is as good a reason as any to wrap your pipes!