I'd also recommend a dyno tune from your local speed shop.
Other alternatives are the Predator, the SCT-X2 or sending your ECU off to any of the various tuners.
The reason you'd need it if you delete the cats or add high-flow cats is because your check engine light would be on, a tune can turn those off for you, as well as picking up anywhere from 10-40 horsepower. It also does a lot of great things like turning off your torque management, improving your shift points if you have an auto transmission, and a whole host of other cool things (say goodbye to your speed limiter). :cool
Realistically, I think everyone should have it done, there's "free horsepower" in your engine that a tuner can bring out...but it becomes a requirement after certain modifications (cam, exhaust, etc).
As long as you choose a reputable tuner, you won't hurt your engine, so that's really not something to worry about.
If you have any other questions, feel free to ask.