You'll need the Mustang sensors if you're going to run the Mustang wiring. If you want to run the EEC-V (Explorer) harness and transmission, you'll need the EEC-V computer, as well.
To run the Mustang wiring, you'll need idle air control, throttle position, exhaust gas recirculation, O2, manifold absolute pressure or mass air flow, inlet temp, and coolant temp sensors (did I miss anything, guys?) to properly operate.
The 1997.5 and prior will list as GT-40 motors while the 1997.5 and newer will list as GT-40P. One way to tell is on the lower right corner (when looking at the exhaust ports) of the head, the standard GT-40 will have "GT", while the GT-40P will have "GTP" stamped into the heads. Ford Racing makes a header to fit the P motors specifically, but coming from someone who went the route of the P motor to get that extra power, it's not worth it. Go with the standard GT-40. The headers are another $250 invested, not to mention that it's a bitch to find long tubes.
Get the GT-40, swap cams (Explorer cams suck) and the other equipment, and call it a day. If you're running a T5 behind it, be sure to get a flywheel (as cheap as new ones are, don't waste time hunting down and resurfacing a used one) and pilot bearing. I almost forgot the pilot entirely.
Stock Explorer timing is single chain, so go ahead and get double roller equipment for a Mustang or Crown Victoria and you can swap that while you do the cam. Even a stock Mustang cam ('87-'88) is a decent upgrade. I got mine for free, only had to pay shipping.