I agree that removal of the cat will lead to a CEL/code. Yes, this will cause you engine to go into a "safe mode" which will make it run like dookie. I also 100% agree with yenpit's statement that the science of cats has improved so that you are not going to see huge gains by removing it or upgrading to a high-flow unit. Some - but not huge. If you are making huge power or using an engine/header that is not designed to have a cat that may be another story - but for basic bolt ons, I've not seen straight pipes give huge gains like people would like to believe.
The cons are sound and pollution. I'm no tree hugger, but having my car smell like a '71 Catalina is not high on my list of mods <img src="http://www.zilvia.net/f/iB_html/non-cgi/emoticons/wink.gif" border="0" valign="absmiddle" alt=';)'> For the money, I think there are other mods that would give you more power with fewer drawbacks.
BTW: after having this debate about 16 times, I believe that most '95s are OBD I with a single, pre-cat o2.