spray foam - headers and flat ceiling
I agree with the above. The downlights should have a housing anyway, but be careful to avoid foam infiltrating the box. And the headers are going to have little room for insulation any way you do it, and like he said it's just a fact. But don't worry about it too much, because glazing is the same way. Since most heat is lost through air leaks and not through your building materials, I'd be more concerned with filling all the potential gaps - especially the roughing gaps at doors and windows that was already mentioned. Lastly - and I don't know how much you've already done - be careful about the insulation you choose. Most of the stuff out there is crap - some foams crumble and/or shrink away from the cavity walls as it dries. And I recommend using an open-cell foam to allow some vapor transfer through the wall system. A closed-cell foam has a higher density and R-value, but can create problems if moisture ever infiltrates your walls, or if you live in a climate that experiences cold Winters or hot Summers. You may want to read up on this more to see if a vapor barrier might be beneficial - and whether to place it on the interior or exterior surfaces of your walls.