I have the Megan 4-1 Headers and they sound awesome. Not Ricey. Doesn't really have any drone either. Coupled with my intake it's nice and throaty.
You will have to get the Headers (will say made for 99-01) But it fits just the same, then you will need a mid-pipe for a 2004-2006 because the design was changed on the 07-08.
Now, you will get a CEL. As with ANY headers. The only way around this is to Have someone modify your equipment.
There are two oxygen sensors on your exhaust. The first one is right at the top of the stock exhaust manifold (Pictured above). The second one is underneath the car behind the second catalytic converter on the mid-pipe. The ECU uses both of these to determine the emissions. It looks for changes in the air coming out of the engine from the first sensor to the second sensor. Normally a CAT would cause dramatic changes in the oxygen levels but with a normal header system (such as the megan with the 06 mid-pipe) you are only left with one catalytic converter on the midpipe after the oxygen sensor. In that system there would be no change to the air.
What you COULD do, Get the headers and have a shop fabricate an exhaust system for you between the cat-back and headers. You would need a new cat placed after the first oxygen sensor, then another cat similar to the factory position, followed by the second oxygen sensor. The oxygen sensor wires would have to be extended to reach.
Here is my setup. You can see the hole for the oxygen sensor at the bottom of the headers (plugged in this picture). I only have 1 cat, thus I have a CEL.
The factory exhaust manifold has a built-in catalytic converter. You can see it by just looking in your engine bay, the tubes are only a few inches long then go straight into it. By replacing it with headers you are removing the Catalytic converter.