squishbang

unless you're going to add forced induction (turbos or supercharger) the headers don't add that much (~15hp max from what I've seen to date). Their primary benefit is being a few pounds lighter than stock. I've decided to skip them.

CAI - same thing if not worse.


As for tuning the hand held tuners offered by BAMA and others appear to add 30+ HP simply by cleaning up Ford's very conservative tuning. Not sure how much of a margin for error they provide though. But if you're running an NA engine and tune for 91 - 93 octane you should be good to go.
Most tuners offer 2 tunes with the device. Specify the mods you are running and they'll provide a prepackaged tune that matches. Most of the people I run with have 1 tune for the street (93 octane) and one for the track (100 octane).


In my case I'll do a dyno tune so we can be specific to my car.


Have fun with the shopping. In my opinion it's about 80% of the fun.