NC Expy, what are you wanting from your truck? Are you wanting the high RPM power or are you wanting low end grunt? The modifications for these two things are completely different.
I went after low end grunt as I don't see the Expy as a "race" vehicle. For that, the modifications that I have done are the following:
-opened up the air box by cutting off the cone (Gotts mod) and installed a K&N filter. I dynoed my truck and gained 1 hp and 10 ft-lbs of torque. For the price, pretty decent.
-ported/polished the 90 degree elbow downstream of the throttle body. You want to specifically open up the inside radius where the EGR feeds back in.
-Ported/polished the entire intake along with the heads. I had the heads off for the spark plug hole repair (I repaired/modified all 8 of my plug holes, so, no more worry of that). You don't want to open up the valves and runners per se, but you want to remove the bumpy surface to allow the air to flow easier (diminishes the laminar boundary layer-you want to know more, I'll break out the scientific speak for you).
-convert over to electric fan setup. The gains from this are quoted all over the place, from nothing to 25 hp and 0 to 40 ft-lbs of torque. Whatever the gains are, the nice thing is that they occur at all engine RPMs, not just at the top like most mods give you. This one is probably the biggest one for low end gain. The realistic number that I will tell you is 8 hp and 10 ft-lbs of torque (assuming the fans are running, slightly more if the fans are off because they are not required).
-true dual exhaust running 2.5" pipes and a 70 series muffler. Why the 70 series muffler (most people want the noise)? Noise does nothing for low end power. Sure, a freer flowing muffler will be great for high RPM power, but how often are you at 4000+ RPM vice 2000 RPM? By keeping the little bit of back pressure on the engine, you get the low end torque, yet the exhaust is opened up enough to improve higher RPM power and improve mileage overall.. A variation of this system is running a single 3" pipe. Flow characteristics are essentially the same and may be slightly cheaper to get installed. As for tip size, go as big as you want as the tip does nothing for overall power unless you are necking it down.
If I was to make another modification to my truck, it would be long tube headers. Depending on what you want to believe, you can net up to 30 hp and 40 ft-lbs of torque at the lower RPM due to the scavaging effect of the long tubes.
As for the tuner, it is great as long as you are looking for higher RPM power. But, also keep in mind that a lot of the tuners will require you to run premium fuel for the power gains (or the gains will be much less on regular gas). Not saying you shouldn't, but this is a cumulative cost over time.
As for the gears, this is a mixed blessing. I have switched gears, but only because I was running much larger tires than stock and it was starting to have an effect on my truck. yes, gears are great for take-off (assuming you are going with a numerically higher gear), but at the same time, you are causing the motor to spin faster and for highway driving, you can make it so your mileage sucks the big one. What I will tell you to look at is your RPM when you are driving your normal speed on the highway. Is it in the range of 1800-2200 RPM? Keep in mind, most Expys are geared so at 70 mph, you are at 2150 RPM (3.73 gears on stock tires). So, going to even say a 4.10 gears, you are going to jump over that 2200 RPM threshold and you will see your mileage drop. If you want some help in selecting a "correct" gear (this is very interpretive), let me know, all I need to know is the gear that is in your truck now, how fast you like to travel, and the RPM at that speed.
Cold air intake, this is another thing that is subject for debate and this is what I have experienced through my time: regardless of getting a $40 E-bay special or a $400 top o the line kit, they all generate the same added power (give or take 1 hp). So, what you are paying for is looks and fit. I will let you pick from there. But, I have told you what I have.
If you have any more questions, just ask.