I have had both types of headers on V8 CJ's. Here are my pros and cons.
First, I agree with John above that headers are more trouble, they tend to burn gaskets, have to be retightened from time to time, and cause more under hood heat. The heat, for me is not a problem, as there is a lot of airflow under my hood. Headers are not all bad, though. They do give some HP, and they sound and look better.
In frame Pros: Lighter than fenderwell headers. Cleaner looking installation. Easier to install the headers. You can run a crossover pipe behind them, this will improve torque some, but will get in the way when working on the Jeep as well.
In frame Cons: They are closer to the starter, which can make it hot and cause problems. My pipes were in the way when I went to remove the transmission and transfer case as well.
Fender Pros: Out of the way of mechanical stuff. Cheaper, just slap some glass packs and exhaust tips behind them and you are done. With the inframe, you need a pipe bender or an exhaust shop to properly finish the job. More work, more money.
Fender Cons: Much harder to install the headers. Mine had issues with the fenderwells (I had to trim them), and are VERY close to the steering column. You may have to remove your steering column to get them on. Heavier than in frame. You may not like the additional noise from having the exhaust exit right below you. Of course you could still run pipes out the back, but I think that would look silly. Easier to burn yourself. I have done this several times while getting under the Jeep. They will catch rocks thrown up by the front tires, and you may crush them when offroading if you are climbing over rocks.
All in all, I would go with the in frame.
Hope this helps,
Dave