Most of the mods I've done have been covered but I'll touch on one I did recently that really surprised me. These are only mods *I* have done on this car, not what was already installed when I purchased it. I'll post up a "review" of 4.6 BBK longtube headers and SCT tune here soon as well:
Steeda double hook quadrant/UPR firewall adjuster--$80 together. Basically removes the stock quadrant/adjuster assembly from under the dash and allows for much easier adjustment (and more range) right under the hood. The quadrant is much stiffer than stock and gives more solid and consistent engagements. If you have a stiff aftermarket clutch on your car like me, and want some better pedal feel and more control over the engagement height, definitely get these. Your stock cable is the best one out there, don't replace it. The install was easy as long as you don't mind bending under the dash in slightly uncomfortable positions, haha.
JLT "cold air intake"--$240 shipped (with extras). I replaced my WMS Cold air with this new setup that's getting lots of rave reviews. The JLT gave me a slightly noticeable increase in power over the WMS piece I had on there before. The look is awesome, you have it painted to match your car and can even have flames or custom paint ordered for it. The JLT is a tricky install, however, on the 4V. The smog pump must be moved and some hoses re-routed to allow for the CAI to fit in the fenderwell. If you drive your car in heavy rain often I wouldn't recommend the CAI (the filter is very close to the ground and somewhat unprotected), but JLT does offer a RAI ("ram air intake") that doesn't go down the fenderwell. The quality of the actual pipe mold is good, although most of the hoses could certainly be purchased at a local hardware store. Overall, a good mod, a little pricey but makes good power (dyno results soon with LT's)
Power Slot rotors/Hawk HPS pads/Russell stainless steel brake lines--$480 together, shipped. I wanted more out of the already good stock Cobra setup, and short of upgrading to 4 or 6-pot calipers this is about as good as you can get these brakes. There is no extra noise, very little dust. The pedal feel is tremendous. I feel that with adequate cooling (possibly ducts from the foglights to the rotors) the brakes could survive a full 20 minute open track session. If you are like me and want good performance when stopping the car or turning a corner, too....I would definitely recommend upgrading to SS lines at the least--they made the most profound difference in feel of the three mods. If you have a 96-01 Cobra with the stock brake lines, you need to replace them anyway--the stock units are highly inadequate and are prone to failure.
Maximum Motorsports full length SFC's--$140 shipped, $25 to install. These made one of the most noticeable differences on my car. These were already on the Cobra when I bought it, but I put them on my V6--and the improved feel of the car alone is worth the money. Many of the squeaks and rattles are gone with these installed. The car feels much more solid pulling into sloped driveways and stays much more planted in corners. The rear end of the car actually feels somewhat connected to the front. Be sure to paint the SFC's after installing them to prevent corrosion. MM is the best brand for SFC's out there short of the Griggs in-floor units (that require lots of custom work), these are a must-have mod for ANY Mustang regardless if you race it or not...just to preserve the structural integrity of the car.
But they do everything else better 
