read this : http://www.wrrdualsport.com/tech-guide/dynotesting/71-dyno2
The exhaust is a two piece system. The cat and EXUP crap is all contained in the muffler.
A slip-on exhaust will be your best bet and is cheaper than a full system, but you will need an EFI unit.
Someone has gutted the stock can, but that was over at Thumper Talk I think. Personally, I don't think that's worth the effort. The stock can is not something you can disassemble and reassemble.
Are you running "dangerously lean"? I don't know.
Modifying your intake (free mods), adding an EFI programmer, and adding an exhaust slip-on should net you 3 to 5 horse power from what I've heard and read.
Roughly a 10% increase in horse power.
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2008 WR250X
Gearing: 13t - 48t
Power Commander 5 / PC-V
Airbox Door Removed - Flapper glued - AIS removed
FmF Q4
Bridgestone Battlax BT-003rs