Here's my experience so far, for what it's worth. I have an '06 Explorer 4.0L 4x4, 3.55 axle. 5400 miles on it. Mileage has gone up from 16.5mpg on the first tank to currently 19.3mpg average over the last 3000 miles, mostly (probably 90%) highway. Under 65mph gets me about 20.5. 75mph seems to be about 18.5. In the city it drops off fast. I don't want to know.
I am cheap so keep that in mind when considering my mods. I noticed that the air intake sits behind the grill. A great cold air location using the factory airbox. Problem is that there is a plastic dam betwixt the two. It is surely to prevent water aspiration during downpours? Anyway, I popped the grill out and cut a hole in the obstructing plastic. I always put fly screen over the radiator area anyway to keep the bugs out so when I did I cut a piece big enough to go over the air intake as well. Then I drilled a drain hole in the bottom of the airbox for any water to get out. I think it makes a nice ram-air setup. Granted, I am still using the factory filter. I can't say that I have noticed any difference in performance but it has to be better than it was ...right? Anyway, in my past experiences with a GM 6.5L diesel and current Ford 7.3L, mileage and power increases came with a free flowing muffler, a full two mpg improvement. So that is my next project. I plan to keep the factory piping and go with only a new muffler. Remember, I am cheap. Also, I am thinking that keeping the existing pipe will keep exhaust velocity up and keep me from losing torque. There isn't any extra with 3.55 gearing.
I appreciate when I hear others' personal experiences posted like Wendell did. Sorry I don't have more to offer yet.