I have a 99. Did exhaust, shifter, and gear immediately. I have the Prochamber as well -- although I had no problem with emissions -- and a Mac cat-back. I personally like the sound better. There are a lot of good exhaust set-ups out there. In fact, SLP and MRT have been making some noise.
I have a Pro 5.0 shifter, although the Steeda Tri-ax is just as good. Don't go any less than a 4.10 on your car ... my mileage didn't suffer much, if at all.
As far as CAI, you know there's not really one that's better than the other. Personally, I wouldn't sink a lot of money into that mod because you're not gaining much. I had the Mac CAI on mine, and it worked fine.
If you're looking to drag race, see if you can do a rear-end swap ... the IRS will kill you. If you're simply looking to cruise around, the IRS is okay. You will have the wheel hop issue, though. Do look into a good suspension. If you're looking to drag race, a nice coil over kit would work. If you're looking to do some cornering, Steeda and Kenny Brown have nice kits. I have Kenny Brown on mine. I personally love the stance ... it sits about a 1/2 inch lower than most Mustangs/Cobras I see.
A buddy of mine that's done a lot of work to my car told me not to "nickel-and-dime" the car, especially if I was going to put a blower on it. I sunk $$$ into the exhaust, the gear, the shifter, and suspension. Then I got the blower. The pulleys, the CAI, etc., weren't really going to make a big difference. And, honestly, I don't need much else. It all depends on how crazy you want to get.
I'm not sure how some of the local guys are on prices (Sutton, Metric Motorsports), but Laurel Mountain Mustang is always priced well. Also check out StangNet.com and their online store. Their prices are competitive as well.
Good luck.
