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All About Building A New XJ Exhaust...   
Over the years both my XJ's have needed new exhaust systems.
I am not the type who enjoys a loud exhaust, sure its nice for fun but I like to be able to think while I ride:). The cost of a new factory setup is far too high for my liking (about NZ$1200 for the collector box and two mufflers) so I decided to build the majority of the system myself from stainless steel.
I am also very partial to the primary gear whine these bikes have that is otherwise drowned out by a loud exhaust.

So how loud do you like it?

There is the issue of performance and other alterations to jetting and the air box to keep in mind if you make the choice to go for a loud system.
The reason for this is that "loud" translates to "free flowing". A certain amount of back pressure is required to get the best performance from the existing air box and jetting setup. A free flowing system may require rejetting and possibly alterations to the air box to compensate for more flow through the exhaust. This greater air flow also can translate to excessive fuel consumption.
For this reason I decided that I would build my systems to as close to factory dimensions as was possible, keeping the quiet exhaust note, economy and performance and without the hassle of rejetting.
There are two main components that I worked on, The Mufflers. and The Collector box.

Some caution is needed when using stainless steel for exhaust systems.
Grade:

Exhausts by nature suffer some degree of vibration in normal use, but unfortunately stainless steel does not like vibration and will "work harden" to the point where it will crack and fail. It is important to use the softest grade stainless you can find.
The best is exhaust grade but if you can't find what you need then 304 stainless from your local sheet metal shop will do.

Finish:

Stainless steel also comes in a number of finishes.
If what you are building is going to be seen then Mirror finish is good. It comes with a plastic coating that protects the finish while you work. There is also a brushed finish if you want to feature your creation and normal for internal components.