The main 2 reasons for installing a new exhaust, these are for power gains and for an exhaust that sounds better. It should be noted that whenever fitting a non-standard exhaust the manufacturer should be contacted to find out if re-jetting is needed. Larger jets compensate for the increased air flow. There are many exhausts which are available for the NSR125RK-N, this is because the exhaust on the NSR125RP-W is exactly the same (although checking with the manufacturer that the mountings will fit would be wise). Here are contact details for 4 makes of exhaust (none of which are road legal, so don't blame me if the police ask you to take off your nice new can).
Dep end can:-
Distributed by Carnell (07902434445). Cost of £57.99. Only an end can so power increase will not be too noticeable. Should make the bike sound better.
Nikon full systems:-
Distributed from supplier, www.nickonexhausts.co.uk, 01582 584188. Costs £175. A cheap full system which gives a 10% power increase. Re-jetting is needed.
Arrow full systems:-
The best full system, at a price of £205. Available at Stan Stephens.
Not much info on these pipes. They cost £165 for the alloy can or £202 for the carbon can version. Can be bought here.