They have paint specifically designed for headers/exhaust. Make sure everything is extremely clean before painting. They are normally a flat color though. Even then it may not last too long, its just a really hash environment.
Coatings are not good for exhaust pipes as the surface temperature of the metal gets pushed into the oxidation range (not good) with a ceramic coating.
Polished would look great! No risks, but more maintenance to keep looking shiny.