I use manderal u bends, and whatever I can find in the line of flanges. Usually cut up flanges from an old trashed set of headers. But you can buy them new from companies like Headmon or*******. Also unless you're building Tri-Ys its easier to buy collectors. Same sources. I probably got a set of collectors laying around here if you need them. They'll need a little work but they'll usable if I still have a set.
this post had several suppliers and/or links listed: http://www.jalopyjournal.com/ubbthreads/showflat.php?Cat=&Board=UBB1&Number=224486&Forum=All_Forums&Words=exhaust%20mandrel%20bends%20&Match=Entire%20Phrase&Searchpage=0&Limit=25&Old=allposts&Main=224486&Search=true#Post224486
Shoenfeld Headers sell a "Box-O-Bends", pieces of pipe with various bends in them, for $80 or so. There is enough in a box to do a couple sets of headers. these are all mandrel bends, and you can but the size pipe you need in the box. It's a hard to beat deal.
What Enjenjo said. I've used these too - you can almost build 2 sets with one box of bends and they're cheap