DIY intake/6637 air filter... best bang for your buck, cheap, quick, easy to install, GREAT filtering, GREAT CFM air flow
Straight pipe the exhaust, no need for larger than stock untill you're pushing over 400 HP, other than sound/exhaust tone reasons. Personally, I think it's fine, with the welder in the garage, and a few feet of 3.5" exhaust pipe, it takes me about an hour to 2 hours to let it breath.
Gauges at any point, I use Auto Meter brand, EGT, boost, and trans temp, and prefer the mechanical trans temp with the thermocoulple probe in the trans pan, not the electronic one. A little more diffucult to install, but more accurate gauge in my opinion.
With these supporting mods, you're ready for a good tuner. I like DP Tuner, have one on both my trucks, and plan to replace the Edge Evolution on the Excurion with a DP when I can. Others like TS chips/6 pos switches with tunes by Wildman, Beans, PHP, and others. Do your research, talk to the people burning the chip for you, get what makes you comfortable. I've had great interactions with Jody at DP Tuner. And you can get up to 16 tunes on his chips, not limited to 6.
Don't be shy, check out the 7.3 general area, lots more traffic there, and the Excursion is the same as the trucks aside from the long body, so there's lots of pertinent info there for you.
'99 E350 DRW Stahl 11' util box van, 7.3 PSD, stock. 138k SOLD
'00 F350 extcab, 9' utility bed, dually 221k
E'99 F250 extcab, S/Bed 211k
'00 Excursion Limited, 7.3PSD 281k
'84 Chevy K-30, 6.2L TD, woods/trail beater. 141k