IMO. The under the body headers look nice. They are the traditional fit. What they do do is put your pipes and collectors right next to the transmission providing a wonderful heater for your transmission. It also makes it nice and tight to get the starter in. Not to mention those nicely bloody knuckles you can get. Don't forget any electric lines that can melt and for those with a push button transmission you have to protect the shift cable from melting. In regards to a transmission blow shield you basically at this time have to run a hard cover. Which can not be installed with the engine and transmission bolted in place in the car (major work). Soft blankets can melt without proper insulation (I am working on this).
Fender well headers can limit front tire size and may rub a little. Generally not enough to effect steering control. The do get all the hot pipes away from your transmission. They do give you room to work on your transmission. Electric lines, shifting cables, and transmission fluid lines are out of danger from being melted. Soft transmission blankets can now be used more easily than a hard blank since you do not have to unbolt the transmission and engine to install them. robinhoodblankets.com makes the ultimate soft blanket for fender well header cars.