Do a search in the TR section and you'll see a lot of talk on this. Coating the downpipe is a great idea. It really helps keep underhood temps down and will help save the parts local to the pipe like hoses,wires, etc. The downpipe doesn't get nearly as hot as the headers so the coating will last.
The headers are another story. You really need the 2000 degree coatings. Last I knew, Jet Hot makes a few colors but they are dull. Swain Technology makes a different kind of white coating that will not burn off, but it's rough textured.
There may be newer alternatives but 99% of the coaters use something called Cermakrome (or a derivative) and their "hi-temp" solution is to coat both the inside and outside of the pipe. These solutions tend to be not as durable as the true higher-temp coating.
I know TR people that have down the heatshields and it works fine. I've seen some turbo housings done but have not seem them long-term.