What audioAl said.
Think of your engine as a large air pump. For it to work better (i.e. produce more power), getting the air out easier, the air in easier requires modification in the air intake, air exhaust, and then changing the fuel and spark to take advantage of these improvements. This is where the tuner comes in.
Adding an exhaust system will sound better (if only an axle back system is added); not much help on exhaust flow. However, the stock system flows good, but can be improved upon for ultimate performance.
Adding a cai: this has been talked about here more than anything else. The stock system in our 3.7 V6 engines flow as good as 98% of the CAI's that are sold. If you plan to buy a CAI and a tuner, then buy them as a set. Make sure the CAI you buy is setup for a tuner. If you buy a CAI tha is advertized as "does not require a tuner", then know you are buying it for the sound and dressup characteristics only, as it will flow no better than the stock air box on our 3.7 V6 engines. Other engines do benefit from just a CAI, but not our 3.7 V6. Ford did a decent job on this arrangement for it's stock ECU programming. There are however CAI that work better if mated to a tuner.
Be aware that a tuner will provide your highest chance of voiding an engine warranty. This is why you need to decide what mods you want to do and when to do them to save on the performance investment.
It is better to keep your mouth closed and let people think you are a fool than to open it and remove all doubt.