I second the intake/tune thing but I recommend Bamachips. There are tons of guys around running their tunes with no trouble and really good power increases.
An aftermarket single exhaust will get you at least 10rwhp on the new v6's. Probably more like 12-13, a dual exhaust might get you over 15 but most people don't go dual for performance because the extra 2-3 rwhp isn't worth the additional $300 of going dual. You'll also lose a bit of low end torque with a dual setup over a good single.
Underdrive pulleys are nice but don't do much. Expect 5 rwhp realistically, 10rwhp MAX.
Performance plug wires and coils don't do a lot either, expect 5rwhp realistically.
Headers won't give you much at all. Expect 2-3 rwhp realistically, 5 rwhp MAX.
If you want to make your car run like it has 250 hp, its easier to go with the better bang-for-buck bolt ons (intake/tune, exhaust) and throw in an aluminum driveshaft to cut down on rotational mass and some gears to get you off the line quicker.
If you really want 250rwhp then you're either looking at a few grand worth of bolt-ons, or a power adder (supercharger, turbo, n20) which will get you a whole lot more.
And if you really want to make some power with that 4.0 and stay NA, then stroke it to a 4.5L and add forged internals. You can make over 300rwhp on a stroked 4.5L with your basic intake/tune and exhaust.
Black 2005 Mustang v6, 5 speed, IUP, EUP and Leather.
Razzi 1/4 window scoops, Mustang GT Sway Bars, Flowmaster American Thunder Single Exhaust, Clear Front Turn Signal Lenses, Demolet CAI, X-cal2 91 tune, Hurst Comp/Plus Shifter, FRPP T-Lock, Ford 3.73 gears