The headers on my previous SCCA road race car (I'm without one right now, until I get the new barn built) were coated with Jet Hot. There are several others who do the same thing, but I believe Jet Hot was one of the originators.
You ship them the part, either new or used, and they prep it, coat it and return it. In the case of exhaust headers, they coat both the outside and the inside. While the outside is "polished", don't expect it to look like chrome.
The silver coating I got was the cheapest, if I recall. They also have a copper colored coating for higher heat applications - the headers on a Mazda rotary engine can approach 1600 degrees, and the silver is good for about 1200 degrees.
I bought the headers new, coated with a high temp paint. I cured them according to directions. A couple of months later, the paint had burned off and there was a light coating of surface rust. I sand blasted them and painted them again with a high quality, high temp paint, cured it, and a couple of months later I had rust again. I sent them to Jet Hot -- about 8 years ago -- ran them for a couple of years and have stored them since, part of the time not under cover, and they are still silver.
In addition to the excellent preservative nature of the coating, they also tend to radiate less heat, and the inner coating produces a tiny bit more power. We were racing in a small bore class (1300 cc Toyota Starlet), and every bit of fractional horsepower helps.
As I recall, the cost was around $300. Worth every penny. Any of the coatings will likely perform as well, but be sure the company can properly prepare used, rusted parts like Jet Hot can, and, if it's important to you (as it was to me), make sure they coat the inside, as well.
There are a lot of other applications besides exhaust. Swain Tech, mentioned above, also has coatings for pistons, etc., but they are not legal for our category of racing.
Recommended. The headers on my new car (VW Scirocco) will also be coated, probably with Jet Hot, unless I can get an equal job for less $$$ somewhere else.
Now, if you want to get into a really esoteric subject, let's talk about cryo treatment of brake rotors and other high heat parts...