Basically help your engine bay cool a bit by keeping most of the heat from your exhaust in the exhaust and 'increased power' because it keeps the gases in the wrapped exhaust warm and they are meant to flow better.
Opposite actually, stainless is more brittle than mild
As dan says, don't bother unless it's a track car. Mine is wrapped and does help keep temps down a bit, i have a very thick Koyo full width radiator so keeps heat off this as well as the sump as it's wrapped up to the collector underneath
Before next year i'm going to wrap another layer on the underside where it passes the sump to keep radiant heat to the sump to a minimum
if you going to do it buy a decent quality wrap. The DEI and thermo-tec wraps are very good. The wrap which are woven from pulverized rock filaments are very effective although are more difficult to apply (Im using one of these at the moment on the civic).
To add, If you dont have anything shielding the manifold heat from the block you should really be heat wrapping the manifold. The front of the b-series block is prone to heat soak from the manifold (it would matter less if it was a cast iron block).