I was running a pretty open set-up, no-catalytic convertor (but as many will tell you, the cats on montero/montero sports are already very free flowing) and a very-very small muffler that had a pretty sweet idle and low-rpm rumble, but I drive a manual so higher rpms on the highway completely turned me off to the idea of a louder/free flowing muffler (at least for now, I crave that rumble!)
Otherwise there is a company in Australia
Race Performance Works that has pretty sweet parts for Pajero (Montero) and Pajero Sports (Montero Sport) like headers, and even an adapter plate for the Toyota TRD supercharger so you can use it on the 6g72 engine (3.0L).
Headers
And start at this page and select based on your engine, they actually have a lot other parts too for the 6g72 and 6g74 engines both 12v and 24v
Pajero (Montero) Page