That depends on where you want to go with this. We don't know how you intend to use the truck.
For upgrades that would be good no matter how you will use it, I would upgrade the transmission. Go for a Transgo Shift kit, oversized valves, Red Eagle bands and clutches, and a heavy duty torque converter. Or to get really serious, swap the trans for one that has already been upgraded, but that was originally built for the 4.0L, which has stronger planetaries. If you don't make the trans the first area, it will be one of the first failure points. The A4LD is not a very strong trans in is stock form. With the upgraded, it will handle almost anything you could do to the engine.
The next thing is the engine. The 3.0L unfortunately does not respond well to most mods. The best thing you can do is to leave the intake stock, and upgrade the exhaust side. The first part with the cats is fine, the part that needs to be upgraded is the muffler and tailpipe. Ford undersized the muffler. For the 3.0L, either 2" or 2.25" will be fine, don't go larger than that.
I you are an offraoder type, you will want larger tires. You can add 4WD, but you will need a transfer case, driveshafts, and a front diff, and anything that might be different between the 2WD and 4WD models. That is a lot of work and expense, so trading towards a 4WD might be a more cost effective option. A modest lift will be good. For hardcore offroading/rockclimbing, you will need very low gearing and a more extreme lift as well. You will also need locked diffs.
If the truck will be used on the street only, a good firm tire with a street tread is better. For street use, you want to keep fuel economy. Modest upgrades and cosmetic changes are best. If yo do want to increase the power without sacrificing the highway fuel economy, forced induction, specifically a turbo is the best way to go. Premade kits for your vehicle are not readily available, so you would need to have it fabricated.
If you do a lot of highway driving, you will want the exhaust to be quiet while cruising. The muffler I personally use and recommend is WickedFlow. If has a great sound, but it gets really quiet under light throttle conditions.
If you intend to use the truck at the track, fuel economy becomes irrelevant, raw power is what you need. An aggressive forced induction system is a must, as well as a modified cam, larger valves, larger exhaust system. You will want to shed weight and beef up the suspension.
If you could please advise us what you intend to use the truck for we can give you more specific pointers.
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