An aftermarket x\h-pipe and a set of pullies will net you anywhere from a 10-20 rear wheel horsepower gain.
The stock headers on 99-up stangs are not that restrictive, so I would wait on those, and cat-back systems will just change the exhaust tone, no real gains there either...
3.73s won't take a huge hit on gas milage, in fact, its hardly noticable, (but you WILL lose a couple MPG).
First mods for you in my opinion should be some gears, an after-market shifter, pullies and an X\H-pipe. With just these mods, you won't believe the driving difference in the butt-o-meter... plus you'll be ready for later mods. Also think heavily about some sub frame connectors if you're going to go for anything more than basic bolt-ons.
Have fun...
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Adam "Hammer" Packett:
Moderator, Gulf War Veteran
GO GET 'EM BOYS!