Gears being done, what next?

[98gt5sp]

I'm pretty sure that headers on the 4.6L Mustangs are not worth the money at all. I would definitely go with exhaust next, including cat-back even though the stock cat-back exhaust on the '99-'02s flows pretty well. Not only will you notice a little more horsepower, but the sound is something that you will greatly enjoy. I have an off-road H-pipe and flowmaster cat-back exhaust and love it!
As for the 3.73 vs. 4.10 gears, I would stick with 3.73 if it is your daily driver. That is what I have and it's pretty aggressive. The improvement in torque will be amazing whether you get 3.73 or 4.10, and 4.10 probably wouldn't be too much fun for every-day driving.
I'd say after the exhaust your best bet is a short-throw shifter (steeda tri-ax is good) and maybe some suspension. The stock shifters are just horrible. Good luck.