for the biggest improvement, get a new exhaust
Check out the group buy forum for the Borla exhaust purchase. There is no longer a group buy, but you will read how to get a Borla for your model X. It will cost $165.00 I installed mine a couple of weeks ago and am getting 4 more miles per gallon.
If you have any questions on getting the Borla AFTER READING THE THREAD, contact me or 95XLT. We should be able to help you with any problems.
Also look for a thread by me about installing my Borla. It will help you quite a bit on telling you what parts to order and what is involved in the installation.
for slight improvements
new plugs any brand name, just make sure they're double platinum
new wires I suggest Champion Truck Wires, costly but well worth it
new air filter I suggest K&N, again costly but worth it
new fuel filter
new O2 sensors wouldn't hurt either, but will cost you
run a bottle of fuel system cleaner through the system
Whatever you do, reset the computer after the changes to get the best results.