Do you mean where the header connects to the motor, or the muffler?
I recently had a leak in my #4 header. It had rotted out right where it enters the engine. The sound was unmistakeable, and loud. It was obvious where it was coming from. Then all I had to do was look. I expected to find that the exhaust gasket was gone, or maybe even just that the collar bolts had come loose. In my case, it turned out that the header was done.
If your leak is at the far end of the header (at the muffler), noise may be a clue, but you'll want to look for visible exhaust in a moderately lit environment (well-ventilated garage, not bright sunlight). My wife spotted a leak that way.