Everyone will agree, the stock down pipe (DP) NEEDS to go. Some folks stick with the stock exhaust, but do a cat delete bit. (and many straigh pipe) The Diamond Eye DP from (Performance Truck Products) is only $89
Diamond Eye 3" Down-Pipe Kit 94-97 7.3L Ford (Aluminized) | Exhaust Components | 94-97 7.3L Power Stroke | Ford Power Stroke | Diesel Power | Performance Truck Products
That's WAY less than a lot of other DP's you'll see advertized. As for the rest of the exhaust, it's really up to you. But, ditch the cat. Even if you keep the muffler. (personally, I'd just get a 4" exhaust, and straight piping is up to you)
You'll also want to do something about your intake. You'll notice, many of us have the DIY intake. It costs a fraction of even the cheapest aftermarket system, and will provide just as much, if not more protection for your motor than the oiled gauze filters. (K&N and S&B systems cost appx. $240-$250. DIY costs appx. $50-$65) It's your choice. But, please make a choice. And, if you stick with the stock intake, make sure that the two fasteners that hold the top down, are the replacement metal ones. (as the old plastic ones, were recalled by Ford)
Generally, it's recomended that you get gauges (Pyro, Boost, and trans temp) before you start doing mods.
The quickest, easiest mod, is a chip. Make sure you get some good, custom tunes. (not a cookie cutter chip)
How much power are you looking to gain? What's your budget?
If you look at peoples sig lines, you'll get a pretty good idea of many of the common mods/ upgrades that people do.