Welcome to the site. Glad to have you with us. I had a 96 Mustang GTS for a couple years and it wasn't too bad. Kinda sad though that my Lightning (high 14s) could have kept up with it. Anyways, the exhaust is pretty easy to tell. If the H-pipe is stock it should have six catalytic converters on it. Three per side. The mufflers may even say Ford on them if they haven't been replaced. I'd bet money the headers are stock but don't worry about them anyways.
Do the K&N first. Then do the gears. You won't regret it. They need gears badly. It'll wake them up big time. Go with at least 3.73s. Maybe 4.10s if you want. Depends on what kind of driving you do and the mpg's that you want. I had 3.73s in mine and it dropped .4 off of my ET's. Made a huge difference in the car's performance. The 4.6's power is higher in the power band than a 5.0, therefore they usually need a bit steeper gear than you would run in a 5.0 (ex: daily driver, 5-speed; 5.0= 3.55s; 4.6= 3.73s) to get a similar performance from the two cars. I still got low 20's mpg with the 3.73s.
Next I would go with the exhaust. Those 6 cats are VERY restrictive. Get a h-pipe or x-pipe, with either high flow cats or no cats. Also get a better cat back (mufflers and tailpipes). They say the 99-up mufflers aren't as restrictive but I guarantee the 96-98 are very restrictive as well as so freakin' heavy. Recommended is h-pipe with baffled mufflers and x-pipe with straight flow thru design mufflers. There's probably not much hp difference in the different types of mufflers for the pipes like I listed but I reckon every little bit helps, too.
Then do your pullies and whatever else your heart desires.
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1994 Red SVT Lightning #2019 <FOR SALE>