^^ditto on the box. I'm running a SLP/Roush Thunderbox airbox and a custom steel tube and I think it's the best and cheapest solution out there....if you can find the damn box! haha.
With your auto, shift improvments are incredible. As far as you can go without opening up the trans and installing shift kit components. Depending on which tune you run, while it may add up to 20hp or so, you'll see gains in MPG too. Alot of guys with a similar truck like your '05 4.0, run a 92/93 torque tune in their trucks on the daily. It gives the best power where you need it, as well as additional mileage. The mileage increase you get more than pays for the added cost of the fuel....plus, you've got more power on tap when you need it.
And IMO, headers are a waste unless your boosted. Just catback it and intake it, maybe crank pulley it and call it good. Of course, adding the tuner and have the tunes written to those mods. Having the tuner's tunes setup to your mods takes full advantage of those mods and makes 'em better than stock programming.