Performance mods...
The single biggest bang-for-the-buck mod is a tune. Add a 3-bar MAP and t-stat for a few more ponies. After that, intake and exhaust will squeeze a little bit more out, plus make it sound more beastly.
Caliper covers vs. paint is a personal preference matter. IMO, the stock calipers are ugly in shape and finish, no matter what color you paint them. I went with MGP covers ( red with black "EXPLORER" lettering - without the fake bolt heads), and still love them 9 months later. They look great (IMO), and are super easy to keep clean. I have not yet seen a set of painted calipers on an Ex that I like the look of. As I said, it's personal preference.
Some people have argued that the covers reduce braking performance due to excess heat. However, it's an assumption, and not one person I've seen make that argument has been able to back those claims up with factual information, or have any personal experience with the product. In my own experience, and discussing the issue with other MGP cover users, not one of us has noticed ANY reduction in braking performance, or any signs of other heat-related brake issues.