1)Cat back looks like the biggest benefits are weight reduction and a different exhaust note, but I don't want to be too loud. Would the combo of headers + cat back be that much more beneficial or can I get away with just the headers?
Muffler first, then get into headers and cats, no point of keeping OEM muffler and putting in ebay headers and aftermarket cats.
You can still get a really light performance muffler that is no too loud.
1)Will the headers give me a check engine?
The ebay headers will give you a CEL, you dont need a software flash to fix this, you need man-made looped over bypass sensors which trick your computer to thinking everything is good. You can get it this unit off ebay for less than 50 bucks i believe.
3)I've read so many mixed reviews on software, some saying don't waste your time and others saying it's a must... Seems like it helps if you've got a few mods going though?
Once you get the header, cats, (x/s pipes), muffler, intake, it might help a little to get a software upgrade (say conforti), but the gain due to software is not much for the amount of money you need to spend on software.
Just reset your computer once you have everything in and the cmputer will adjust itself to the new hardware.
2002 bmw e46 m3