I am guessing you have a 4.3, if you don't I would not even touch the cat, it will probably sound really stupid. I removed both on my 4.3 and the sound difference is drastic, it definitely got louder, but the tone is reminiscent of how an old v8 exhaust sounds (not saying it sounds like a v8 but if you heard it you would understand). This is one of my favorite mods on my truck.
I don't see a reason for not running a muffler and no cat, but running no cat is definitely worth it if you can get away with it. And yes you will need an o2 sim with obdII and I'm guessing the fake obd1.5 from 95.
People are all worried about back pressure, i dont think it will do a thing. I love the sound of my bros it does have that nasty v8 sounding throttle, i will probably do it, but putting in headers and would like to see what headers sound like with it first, just get the sim, cut the bish off....werd