CAI - Cold Air Intake - sucks air from outside the fender well instead of using that little plastic POS pipe from your airbox. Get it from eBayMotors.
Under Drive pullies - relieves the engine from having to spin up all your accesories on the serpentine belt like the alternator, air conditioning, water pump?, etc. You will also need a shorter serpentine belt for this. If you have a 94-98, I recommend only getting the crank pully, if you have a 99+ get the crank and the alt. pulley. Sites:
http://www.macperformance.com/
http://store.summitracing.com/main.asp <- has a ton of them
http://www.bbkperformance.com/
Cat-back exhaust system. This bolts up to your factory Y-pipe. This is after the left/right headers from the engine, after the catalytic converters, and then the Y-pipe. Not the most efficient system, but good enough for starters. You can also put in an off-road H pipe - requires O2 eliminators that plug into your headers so the car doesn't throw a computer code (depending on emission laws where you live), or high flow H or X-pipe w/ cats. You can go rear exit eaxhuast or side exit exhaust. Depends on how much $$$ you have to burn. I strongly suggest sticking with a stainless steel exhaust. Some options:
GT take-off system (cat-back cheapest).
http://www.mustangsalvageparts.com/home.cfm?section=about/links
Muffler shop fabrication - Flowmaster 40 series (or search these forums for a different muffler - next cheapest option)
MAC cat-back
http://www.macperformance.com/ (not my first choice - 3rd cheapest)
Spintech side exhaust - Roush side exhaust - CDC side exhaust (more expensive)
Most of these items can be found in the PartShopper tab at the top of this page.
That should do you for now.
Later:
Gears, T-Lok, suspension, rims/tires, shift kit or better shifter, H/C/I, super charger, chip, and the list goes on......... forever!
Use the search button at the top of the page as well!