What to Do??

gears....mid pipe.....headers.....

Exhaust sound is opinion. Search is your friend on that, also check out a local mustang club and ask what combo people have. A video of a particular exhaust might sound different in person.
How much money do you have and what are your goals for your car. Spirited daily driver, drag, autocross? You'll get better answers that way.
A few golden nuggets.....1) N/A is expensive and tops out around 310-320hp with full bolt ons, full exhaust, heads and cams, with tune.
2) Nitrous cheap but seems risky too me if you don't really know what your doing.
3) F/I is the way to go if you can afford 3.5K and up. Mongoose kits are lower priced, safe tunes, and around 385hp. KB's are my favorite, more money but well do a search on Centri vs twin screw.
Small/cheap mods that I've found effective....1) Gears- no hp but you feel the difference. 2) Predator/SCT tune- feel the difference and stuff to play with/data log. 3)Exhaust-Cat-back for sound, mid-pipe for sound and a few ponies, long tubes for better torque under the curve. you'll feel LT's and mid-pipe and possibly cat-back if you wish hard enough.
I did the Plenum/TB and K&N FIPK but didn't notice much but I know they are effective and make a difference when coupled with the other N/A mods.
Also under drive pullies make the engine rev faster. Didn't notice much else. Do a search on these and decide for yourself if you want them but I've had no problems.
It's all about how much money you got and what you want to do with your car. Get a plan adn don't just start slapping on mods because they are cheap or sounded cool at the time you bought them.
Cliffnotes: Buy an 03-04 Cobra.

From your list, I would start with exhaust followed by gears. That way when you get gears, your car will sound good and you wont mind hitting higher RPM's. As for what type of exhaust, that depends on what you like. The Magnaflow catback is nice, I had it on my 02' GT myself. But it all depends on what other exhaust mods you plan on doing. If you are just swapping out your catback, then I would look at the Magnapacks instead - as the Magnaflow catback will sound very close to stock with the stock midpipe. But again that depends on what type of sound you are looking for. If you just want a little extra tone, and a deeper exhaust note then the Magnaflow catback would suit those needs. I had it paired with my stock midpipe and it gives off a nice deep note. I've also had that catback paired with LT's and an O/R H and that sound was heavenly, haha. So again it depends on what other exhaust modifications you plan on doing.

Once you have your exhaust the way you like it, then i would jump into some gears. The exhaust is a good starting point as it is something you can install yourself and save money. Gears are more involved and will cost a good chunk of change to have installed professionally. I have 4.10's on my car as well and am very happy with them. From what I had read all the time, I thought I would not be able to use first gear and would be shifting like crazy most of the time. But for normal daily driving I use first gear all the time with no problem, as long as you're not heavy on the gas - it feels similar to stock (until you get on it).

Those are two good mods to begin with: the exhaust you will hear, and the gears you will feel! Other small mods you will not notice as much, such as a CAI - but they look good under the hood, haha.

I would do gears first. That was my first mod along with XCal 2 and I loved it. As for the exhaust I have a Magnaflow Catback with Magnaflow O/R X and it sounds great. I wouldn't do Magnapacks if you plan on adding a mid pipe later, at least an O/R X-pipe, because the Magnapacks will pop real bad.