A new performance muffer and exhaust system might improve your torque and hp but it is unlikely to have a positive affect on fe. It might negatively affect it though. Most performance exhaust systems are designed to boost torque and hp at higher RPMs. If you are not driving in those ranges, you will not see an improvement. Improving higher RPM performance sometimes adversely affects low RPM performance. If you are seriously considering a new muffler or exhaust system, I would look at Dyno charts if they are available for the RPMs that you normally drive in.
Performance exhausts are less restrictive and allow the exhaust gasses to flow more easily out of the engine. They can also be substantially lighter (especially on a motorcycle).
Here is a good link:
Car Talk