I typed a long reply up and it "expired" when my attachment was too big.
Here is the short version.
4.56 gear swap for power (best mod for these IMO unless you already have a Power Wagon).
Free spin hub conversion for mileage (maybe one to two mpg and expensive, but also replaces the non-serviceable unit bearings).
Other common items are to fix the factory y-pipe which crushes the two sides in half. Replace with magnaflow. The best low $ mod.
Superchips for canned programming, Diablo for custom (IMO).
Header choice is limited on the 2500s (ARH and JBA). Research this carefully.
Cold air intakes on these do not tend to result in reports of much in the way of gains. Twenty plus pages on this at Dodgetalk.
Cam swap to a comp 260 also supposed to be worth decent power, and apparently will run on stock or canned programmer tunes, but better with custom. Lunati, Crower etc, and various "proprietary" grinds are also available.
Your mileage may vary.