Yep they do. I got the summit headers and they cam with the EGR. I ended up cancelling the EGR so I did not need it. If you do not plan on deleting the EGR then plan on getting a new tube or maybe even the entie EGR valve because it will never come off and be resused.
I would not say huge difference in themselves. But, with everything together headers will be a must.
Air in Air out. If you put a huge exhaust with a small throttle body the exhaust will not help. But, change throttle body intake cam, bigger exhaust is a must.
I cannot comment really much on the sound difference. When installed my headers, I also had a leak at my Cat so the exhaust was loud to begin with. You will hear more engine noise but it is not to the point where you will curse the day you put them on.
Since you already have free flow I don 't think you really need headers, for your case until you upgrade your intake and have it breathe a little better. Headers will not give you an increase in the butt dyno.
Stick with what you have and do a modification, smooth out the intake runners and plenum. Open up the Throttle body smooth it out. With those 37" tires you will want as much lower end torque as possible. The 4.10 work well but with 37" I would have gone 4.56.
Until you decide you want to go all out and buy a cam. Stick with what you have and modify. 1.7 Roller Rockers is a nice upgrade through out the entire power band, but expensive.
I have a k&n cold air and Im currently fixing the plenum problem, but I was thinking that while I nearly have the entire top of the engine apart, that I might put summit headers on. Do you think it would be worth it?