Arc/Stick welders, you may have a hard time welding exhaust pipes because they will blow through easier. It takes some practice skill. Mig welders are probably the easiest to get the hang off, but a good looking weld can be a very poor weld.
Harbor Freight mig welders suck.
However that said, they will weld exhaust tubing. But thats about the limit of their machines in terms of metal thickness. Kept within it's limits, it will work.
If you really want one, it's going to be some money: welder, helmet, grinder if you don't have one, gas if you want to MIG, gloves, wire brush, etc. Stick with the big 3: Lincoln, Miller and Hobart.
Personally I went with a refurbished Hobart Handler 140 from
www.toolking.com. It's a 110v 140amp MIG/fluxcore welder. The only way I could be happier is if I had a nice AC/DC Tig welder to keep it company on the cart.
Go read up here if you are serious:
http://www.hobartwelders.com/mboard/