You know, I take back my comment on "no reason not to run a cat". If your engine isn't set up for emissions controls, there's a pretty good chance you'll damage the cat rendering it useless or worse. Emissions could actually go up, power & fuel economy down.
There is one concern with not running cats that hasn't been mentioned. Once some cities & towns figure out they can legally confiscate vehicles that should have them and don't, well how greedy are most politicians? I know for a fact Portland, OR loves to confiscate vehicles in a number of circumstances for the revenue when they inevitably sell them later. I'm not saying confiscation for lack of a cat is happening or will happen. Hopefully it won't. But removing a cat is in fact a crime and renders the vehicle in question up for confiscation. The cops will need reasonable suspicion to check the vehicle, but a loud exhaust should prove enough grounds for inspection. Also, it's possible they don't need grounds? Is looking under your vehicle a "search"? They don't need grounds to inspect the exterior of your vehicle... My guess is that if they decide to do it they'll worry about the court ruling later.