The can will be the only one you can really notice Dom.
Ideally, you want to find a 95 head, and get Jeff to rework it for you, then install it with the came.
The only major difference between our xj's is mine has the 95 head. Without a doubt that head breathes better providing smoother power.
There is a mild change to the cams as well, but really, its the head that makes the major difference.
The reason throttle body's and headers dont make a realy significant difference on 96 and later 4.0's is due to the changes in cylinder heads, causing a lot more restriction.
Also, to really get better breathing with a spacer and bored throttle body, all three components should be honed out to match. Intake inlet, spacer, and throttle body.
Mustang 24 and 26lb injectors swap directly on to 4.0's. If you get an aggressive enough cam, they would potentially make a difference as well.
Just replacing the stock injectors with multi nozzle (bosch) style injectors make a slight improvement over stock due to better fuel atomization.
There are tons of things to do, it takes money, but can be a bit frustrating because the gains are never very large with 4.0 mods.