IMO: Hell yes it's worth it. I'll be doing an undertail kit next winter (if I keep the bike that long), except I wanted to use two smaller mufflers instead of one large one. I was thinking a set of Toomey T-5's from a Banshee would be ideal, but seeing the new dual-side mounted pipes, and what he paid for them, I may go with a set like those.
The hardest part would and will be making the header. I was thinking of routing two small diameter pipes on either side of the engine, or do like the stock system and dump them both together and run one single pipe, probably on the left side of the motor (the only thing to worry about over there is the coolant line..). Then comes the whole routing of the pipe from there. The guy on youtube who has the "race ready 250r" that does the walk around... I think his system is pretty jerry-rigged. He did an awesome job with the bends and the beautiful tig welds, but how he has the whole system bent up and around the swing arm just looks very hillbilly. I am running a K&N (r-0990) and have plenty of room under the seat to run the exhaust, just cut a hole in the mud flap and run it through there. Wrap the header the whole length with a ceramic coating and then exhaust wrap, and you could keep it cool enough that it shouldn't make a HUGE difference to the temperature of air your engine is pulling in...