1st thing to do is buy a BD or Bulletproof EGR cooler if it isn't already done! Some people preffer to do the delete... 2nd & 3rd are a toss up in my book, either a SCT tuner with custom tunes or the rear sway bar off a F-350 (30mm compared to the 20mm it came with).
Thinking that maybe the 1st thing to do is test your FICM to make sure it's putt'n out 48volts...

 

The Ex came with a 4yr/48k bumper to bumper warranty so I wasn't going to do a egr delete yet since I don't want to void the warranty. I haven't had any problems with cold start & or anythint with it, usually she starts after 3 or 4 seconds so I think ficm is ok right now. I was actually thinking of first buying the edge cts monitor so I can keep an eye on all the temps to give me a heads up on when something is on its way out. Do you have any experience with the cts, like it or not? Then maybe some 4" exaust, but not sure how loud it will be and i dont want to make it unbearable for the 5 kids & wife. New to diesels so not sure really where to start but I have definitely been bit by the diesel bug. I can see this turning into a very expensive hobby.

 

got mine in December. Wife has adopted it, I get eth luxury of driving her 08 focus. However we have put 4k on it since purchased and it runs smooth and great. 315/70/17 on moto metals. I want to bullet proof it but will wait and save for it. I have not done any hard core off roading, however it handles sand, hills, and mud decently.