Well start off with some bolt ons. Usually the first ones are cold air induction (CAI); I never remember what the deal is with CAI and 05+ Mustangs but you may also need a new tune to go with it. No matter what you do however you should always go with a good tune (custom made and not off the shelf, i.e. eBay). CAI doesn't have to be any particular brand, in fact many members just go with an eBay CAI. Important things to look for is a straight and unobstructed (read: not too many twists and turns) pipe. You'll probably want one that will work with the Mass AirFlow sensor (MAF) from the stock intake. If you are particular you could think of getting a product that will also insulates so the air coming in stays cool. But this fact is usually insignificant to even mention to buyers, I just included it for a "FYI". Filters don't matter too much, many members will debate quality of them but for the choice of reusable or throwaway is up to you. You can go with K&N too, but usually that deciding factor is due to the style and name. In my opinion K&N does make a great reusable air filter.
Exhaust which can range from cat-back exhaust (aka catbacks), or just do headers back (or a custom made straight pipes). You can get long tube (LT) headers or Short (Shorties/Shortys) tube headers. LTs usually give a better increase in power and allow more air to flow smoothly. There are also midpipes to choose from, generally the option is between X-pipe and H-pipe, either one with or without (aka off road, or O/R) cats. The power difference between the two is small usually about 2HP. They say H-pipes gives a deeper rumble sound to the exhaust while X-pipes have a higher raspier sound. On the newer motors many like the H-pipe. I usually recommend Kook headers and Borla Catback where most will agree, however there are many others to look out for. MAC is one of them, there is also Magnaflow and Flowmaster exhaust.
Definitely get a short throw shifter though. Members here have MGW, Steeda Tri-Ax, Hurst and I personally have a Pro5.0.
While gears will not add horsepower, they provide a quick-kick-in-the-pants acceleration. Gas mileage is usually affected depending on the driving, but by a few gallons at best. There are many different sizes but recommendation is 3.73:1 (3.73's) for manuals and 4:10 for Autos. That's not to say 4:10 will not work for manual and vice versa but the steeper (higher) you go the quicker your lower gears will be. You'll need a tune after these as well since the Speedo will be off. Get these installed professionally.
You can also get underdrive pulleys (UDP) which will free up some power running to your accessories.
While all these little mods may offer a little bit more power, when and if you go big they will make up a load of difference.
When you have the basic stuff you can start looking into port and polished heads, and engine work, as well as perhaps, super charger, turbo charger or nitrous
, or any combination there of
Those are basic performance mods, what do you plan on doing with the car? Straight line racing? Auto-X? Car shows? Best of all worlds?
There are plenty of appearance mods as well as audio system upgrades you can do.