Unfortunately, mods are not very cheap. You said you have a K&N filter. Is it just a drop-in paper replacement? If so, a full intake kit will improve horsepower slightly, and gives a deep roar to the engine under hard throttle. I have a MAC intake, and it works flawlessly.
http://www.macperformance.com
As for exhaust, you will get varying responses. Many prefer to just go to an exhaust shop and have a custom setup installed. Others like buying the kit and installing it at home. I did the kit and upon installation, discovered that the fitment was not good. I still have problems, and am looking at getting a custom exhaust done, just need to decide how much to spend, and how to configure the exhaust.
To top it all off, a computer reflash will dramatically improve performance. I did this on my Mountaineer, and it made a world of difference. Much improved throttle response, better fuel economy, and best of all, more power. BamaChips is one place that does programmers for the Explorers, and I was very pleased with mine. However, this mod is not cheap at around $400 for the programmer.
Some people on the forum have talked about headers for the 4.0 SOHC, and they are available, but the consensus was that the stock manifolds flow very well and that headers would provide a negligible increase in power.
