If you want a performance bump on a budget, you can just pop in a high-flow replacement air filter in the factory box. You can also "swiss cheese" the lower part of the air box for more air flow, or simply cut out a small part of the fender side. You can also swap out the factory muffler for a $20-30 Thrush Turbo at the parts store, which makes a big difference as well.
You COULD also get a cheap MAF adapter and a cheap cone filter, but in my experience these don't perform as well as their quality counterparts and it's better to save up for the real deal.
Likewise, you could keep the current exhaust and save up for a Dynomax Super Turbo catback kit. They sometimes have a very nice rebate deal and go on sale at the same time, making it a VERY inexpensive DIY upgrade.
The other best cheap performance boost is regular maintenace items. Good Motorcraft spark plugs, good spark plug wires, a clean MAF, clean TB, properly tensioned throttle cable, proper tire pressure, good coolant, oil changes, etc. etc. A well cared for 4.0L, even nearly bone stock, is WAY better than a poorly maintained engine with a ton of performance parts.
As for the CAI/muffler upgrade, it DOES make a difference. A HUGE difference. Performance with a K&N in the factory box and a stock replacement exhaust was ok, but with the KKM and Dynomax Super Turbo catback, it's neck-snapping performance.
It DOES make more noise as well, but that's a byproduct of higher intake and exhaust air flow. The noise isn't objectionable, either, it has a nice throaty performance sound, and has a nice mean roar at higher RPMs.