Gaskets that come with it are no good. I reused the manifold gaskets (head to manifold) and got a new resonator gasket from the parts store.
Reuse the exhaust bolts, unless you break them...Which shouldn't happen, but obviously use the correct size (think it's 13mm) and don't strip them.
The o2 extension is necessary, unless you splice the wires on the o2 sensor to be longer, and then heatshield them. (As ryno said, don't cheap out and use butt connectors, or you'll be pissed later on down the road)
And yes, driving on the headers untuned will be fine. Now if you delete the catalytic when you install the headers, you'll throw a code, and the car wont be happy with you, but you can get that tuned out.
Also, make sure to get Copper RTV, and some better band clamps to replace the crush style clamps they came with.
