Since you gota new F150 I would say first thign is the exhaust. It runs so much nicer w/ a different exhaust and saves you about 200#. I have the Gibson exhaust but the Flowmaster cat back is nice too. Second would be the intake. Originaly I just went with the drop in K&N, but after driving in a frineds with the Airraid intake I ordered myself one. And last I would say a chip/tuner. The Superchips Micro max is probably the eisiest to use and allows you to change all kinda stuff (ie tire size, gears, shift pressure and speed limiter).
By the way what kinda tires did they put on yours? I got the damn Hancooks which are soon to go bye bye. Shitty traction and they wear so friggin wierd.