Headers are kinda a big job for our cars. Its not like installing them on a 5.0. Just get underneath and look. There's a lot of work involved for a small amount of performance gain. Gears, cold air intake, larger throttle body and plenum, and a short throw shifter are great mods to start with.
I ran 4.11 gears for the last 2 1/2 years. I blew up the rearend 2 weeks ago and switched to 3.73's. I really like them. I don't think I lost any performance out of the hole but I know I gain a bit of pull on the highway. Also, they seemed to take the edge off on the highway and now I can cruise at 75-80 without going crazy.