I was a little strapped for cash when I first bought my truck, so instead of gauges (which you really should do first), I focused on things that would help EGT along with performance. This included things like exhaust, intake, turbo, etc. , but excluded injectors and some of the fuel pump adjustments.
My first mod was to replace the worthless stock muffler with a straight-through design one. I immediately noticed better throttle response, much less smoke, but not much difference in fuel milage.
Some people here have mentioned a crimp in the stock exhaust pipe as it goes over the top of the rear axle--mine doesn't have this at all, so I would encourage you to examine your exhaust system closely before you blow a bunch of money on a 4" system.
My two cents...
Mike