any mods that will;
- improve the volumetric efficiency of the engine, (low restriction air cleaner/mufflers, tuned headers etc.)
- reduce parasitic loss, (underdrive pullies, electric water pump, synthetic fluids, manual transmission

)
- reduce rotating mass (alum. flywheel/driveshaft, lightweight wheels)
- further fine tune the fuel metering (tuner)
will also improve fuel mileage providing, what Marcus says, you can keep your foot out of it.
My electric water pump gets me about a 1 MPG improvement and as such will pay for itself in about 100,000 miles. But I get to enjoy that 10+ or so "free" horsepower all the while. I do run the chance of it failing, but the Ford one will fail someday anyhow. trust me, it will.
By contrast, underdrive pullies will offer similar benifits but the risk is different. You "may" have charging issues, you "may" have cooling issues. you may not.
Yes, a new higher flow aircleaner may allow more particulates through but once it isn't new anymore (dirty) it will clean just as good or better than paper and the break-in period is acceptable. Plus if you get an open air filter element you get to dump the intake muffler (aircleaner box) in trade for a nice BOOOOWAAAAA sound when you romp on the gas. Money well spent in my book.
Just stick with simple, tried and true well thought out mods and buy the best equipment (for the price) you can from the best vendors you can find and it's all good.