Helps everyone out alot in the forum if you put your truck and current mods in your signature so there is no confusion on what we are helping you with. Display your City and state so we an tell wheher you are N S E W is nice too.
Gauges are a must when you start adding power. Tried and true and bang for buck method for power adding is SCT X3 tuner, with Cale's or Eric from Innovative tunes added on.
Exhaust is not quite required right away there are a few things you can do to stock until you decide what approach you are going to take or if $$ is an issue.
Cold Air Intake (CAI) would be the bottom of my list I have plenty of other things to buy first. The stock intake is good for 500hp, and the powercore filter is one of the best rated filter media. You can do things to help it out like Zoodad mod.
Basically cutting a hole hidden behind the grill to let cold air directly into the intake, but like I said, listing your city/state would clue us in to whether you might have an issue with sucking snow/rain/water in the intake.
With a leveling kit for as cheap as 19.99 on ebay you can fit 35X12.5" on stock rims, clear bumpers and fender wells, with just a little bit of rubbing on the main arm at full lock.
Head studs, and EGR delete further down the road when you start raping your checkbook for more power, but this should start you off in the right