headers- bolt on the engine... they replace the factory items called exhaust manifolds.. they do the same thing. headers just do it better..
X & H pipes- are the pipes between the headers and the cat back. they take the exhaust from the headers and have the tubes meet to help exhaust get out quicker.. and balance the cylinders. a.k.a "equalizer tubes" they are shaped like an H or an X. you can get one with cats on it or get the off-road type with no cats.
Cat-backs- the 3rd set of pipes in the system. called so because they are from the cats back... this is the set of pipes where the mufflers are located.
www.mustangexhaust.com is where you can look for different sounds.