Here's a good article to take a look at. The biggest thing to decide on is where you want to go with the car. Do you want a daily driven car with some bolt ons that'll wake it up, or a built v6 car pushing 350 rwhp?
V6 Mustang Modification Guide
If you want to simply gain some power and improve the car from its stock form, exhaust, a CAI (you don't have to buy a super expensive one, the $74 American Muscle CAI will work fine), udp's, gears/tlok, and a tune.
The best forms of tuning are either a custom dyno tune at a shop, or a custom made set of tunes on a handheld tuner. SCT or Diablosport are the choice handheld tuners here. Dyno tuning really isn't necessary until you really start altering air/fuel ratios, but you certainly can get it dyno tuned if you desire.
Tuning will free up some hp and tq, seriously overhaul your transmission (if you're an auto) better shift points, firmer shifts, extended tranmission life, etc. You can also adjust for gear changes, tire changes, and speed/rev limiters.
Custom places like VMP Tuning, BamaChips, and Breenspeed do good tuning for mustangs. Justing at VMP Tuning does a great job with 99-04 v6's.