I've run like that a few times when I didn't have the time to finish my exhaust. Its loud. Obscenely loud. And the fumes get you when you're at a stand-still. But I wouldn't worry about heat, the pipes get no-more hot than usual, and the air seems to dissapate the exhaust well enough.
But watch out for the sound police...only time I've ever been bothered was with an open downpipe - and I live in the land of big glasspack pickup trucks.
Didn't feel any gain in performance though, but on a stock WRX turbo and a 2.2 spool has never been a problem.