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Your first mods should be as follows (my take):
In order of Priority
1) Subframe connectors (SFC's) full lenght or short
2) Gears: 3.73:1 or 4.10:1 seem to be the popular choices
3) Buy a K&N panel filter (no CAI kit required) and put it in the stock box
4) Exhuast (headers, hi-flo cats, mufflers)
5) 3G alt upgrade / electric fan
After those, it's pretty much up to you. There are plenty of Super Chargers or Heads, Cam and Intake packages to choose from.
Also, don't forget about the basic tune up which should include:
1) Changing all of the fluids (oil, coolant, trans, rear end, brake and some of the power steering)
2) Plugs: (non-platnum type) Autolite or Motorcraft
3) Oil filter: Motorcraft or equivalent (not FRAM)
4) Air filter: see above
5) Plug wires: Ford Motorsport (FRPP) 9mm units are great
6) Cap / Rotor
7) Oxygen sensors