stainless steel is heavier than mild steel. the only things lighter are aluminum and titanium.
stainless will hold up better to the elements, but if it's ceramic coated, it will hold up just fine, plus it'll keep underhood temps down (remember, your heat shield will be gone after a header install) it's also good for scavenging the exaust and making sure it runs hot enough for the cat to work.
lastly, if you get a ceramic-coated header, don't thermal wrap it, it's bad for the ceramic coating, and may cause it to crack or flake off (wrapping it retains too much heat at the ceramic layer) you won't need it anyways if it's ceramic-coated; still hot to the touch though, so watch those fingers if you work under the Hood
whie the engine is still hot.
I dented the header on my escort at one point, but the ceramic stayed on, only one small scratch, but it never got worse, or flaked off, even after I knocked the dent out, it stayed on.
ceramic coating is impressive stuff, and it'll keep the rust away really well too! Just as reliable as stainless, just better in terms of thermal insulation.