Unfortunately, you have a tough choice to make. You can go either way.
1) You can buy a cheap header (approx $100) - Don't do it, you will be sorry and replace them later.
2) You can buy a mid-grade header (approx $150 - $250). These are either short or long tube (another arguement all together) and are typically black painted or chromed. You might be able to buy a cheaper header, blast them and jet hot coat them to bring them up to a higher quality header in this range.
3) You can buy a high quality header (approx $280-$360). These obviously are your better headers. The expense is typically due to the coatings such as Nickel Plating or Ceramic Coating.
One issue I would not compromise on - the mechanical design. A good quality header will have 3/8" flanges at the head and collector. Smaller than this and you run the risk of gasket blowouts, warping, etc. You will also find the bolts will stay torqued much better with a thick flange and less time checking the bolts (which is a pain). Make sure they are also designed well for your vehicle. Fortunately most of the bronco supply houses have them setup just right and will answer your questions on modifications if necessary.
Now my Opinion only, is to just get a good quality set right from the get go. I've heard raves about ceramic coated and I went that route. I was particularly interested in the concept of lowering underhood temperatures by 15 degrees or so. They look fantastic, don't corrode, rust or change color. All of these nasty problems are characteristics of cheaper headers.
Good Luck!
Oh, I have pics of what my headers ceramic headers look like on my site if you wish to see what they look like installed.
