All good ideas. All I can do is just reiterate what's already been stated.
Since you just got the car and likely don't know a whole lot about the maintenance schedule it has been on, start with an oil change and a basic tune-up as per Mr 5.0's post.
Next comes all the free stuff. Include advancing initial timing to 13-14 degrees, TPS setting to .95-.98 or so, and air intake silencer removal. If you have any questions on how to do these...just let us know and we'd be glad to walk you through it (I don't have any idea how much you know about Mustangs...).
After that, get ready to spend a bit more money as you go.
1. K&N filter. You could go for a simple panel filter or a open cone element. With a panel filter, you don't have to worry about fan wash messing with your idle as much and they still flow really well.
2. Cat-back exhaust...woudln't worry too much about headers
just yet. The exhaust itself will only pick you up minimal power now, but you will love the sound and it makes for a great foundation for future mods.
3. Gears. At least 3.73's for your AOD. If you don't mind spending a few more dollars at the pump each time, go with 4.10's. That will probably put you at about 2600-2700 or so at 70mph (I believe I ran about 2300-2400 after I put 3.73's in before the converter). This is a bit expensive to buy the gears and then pay to have them put in, but definately a must for Mustangs.
After those basic mods, a whole world of possibilities opens up. First, decide what you want your car to do.
Do you want it to remain a daily driven street car? My guess is that you do. In that case, you have to weigh the potential outcomes of your mods and decide if they are worth it in terms of streetability. If fuel mileage is important to you and you do a lot of highway driving, you may need to consider 3.73's rather than the better performing 4.10's. You get the picture with this line of thought?
Another thing to consider: Do you want to focus on straight-line acceleration, or more on carving up the twisties? Do you want to dessimate all at the track, or simply be competitive with most of what's out there? Do you want to remain naturally aspirated or go with forced induction or nitrous?
Do some thinking about where you want to go with your car before you mod it. Then you can peice together a road-map of modifications and develop a list of parts you'll need along the way. We can help if you want; you only have to ask.
Have fun with your car, but be safe. And welcome to MustangWorks.
--nathan
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'91 GT, Coast 347, 9.5:1 compression, full intake, Wolverine 1087 cam, exhaust, Keith Craft ported Windsor Jr. Irons (235 cfm intake, 195 cfm exhaust), AOD, PI 3500 converter, Lentech valve body, 3.73's (4.10's in the works), and Yokohama ES100's out back.
Daily Car: '04 Infiniti G35 Sedan 6MT