[Stroked408]

Well if you want an immediate improvement,it is gears hands down,they even had a poll in 5.0 magazine that says gears should be first.

If you can afford gears then go for it,if not then work your way backwards from engine to rear axle,my humble opinion here goes:
K&N air filter
Underdrive pulleys
Super tune the engine(spark plugs,wires cap,so on so forth)
Shorty headers
X or H pipe(if you do not have to worry about emissions in your area get an off-road pipe)
Shifter(makes you no faster but eases shifting)
Mufflers(I like Flowmasters,your decision)
2.5 inch exhaust all the way back
Gears(3.55 or 3.73 for a stick,4.10's with an automatic,4.10's with a stick if you are ballsy)

now for the serious mods:
Cobra intake or Holley Systemaxx II
65-70mm throttle body
75mm Bullet MAF sensor
Set of aftermarket heads(aluminum or GT40P)
Custom cam or alphabet cam

Just my opinion but get out there tinker around and have fun