The first thing I installed was the Magnaflow SIDO catback system. It made a big difference as the truck felt much more responsive.
The difference in performance was noticeable, but like almost any mod you're likely to do, it's not going to make your truck into a 1/4 mile monster (unless you install a supercharger), but it will gradually improve things as you go.
I also used an AEM CAI, which also works well, and as I am told flows similarly to the K&N unit.
By far, the best mod is the Gryphon Tuner with Bill's programming!
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Current mods: AEM Bruteforce CAI, Magnaflow SI/DO, Gryphon-87 & 93 tunes, Harley head lamps, tinted windows, lower grille filler, and FX2 lower valance.