There is lots of good info here, but is obvious many differing opinions based upon a specific application from various owners, and most all of them are correct.
So my point is there are MANY variables, and the question should be "what is the best exhaust gasket, if any, for my build"?
Heads may be aluminum or iron, headers can be stock or aftermarket which have various flanges, fasteners can be stock bolts which hold very well, studs and nuts, or specialized bolts, and then many different gaskets, so application needs to be considered as it is very important to use the proper parts to maintain a long-lasting seal, and be repeatable.
All these items factor into how well the seal will be, and how long will they stay sealed.
What is "best" in my application, may not be "best" in others.