Most bolt on modifications have little chance of ruining your engine so don't be afraid to do them. If you're planning on getting a tune done either on your own by buying the tuner or a dyno tune at a shop(you'd still need to buy the the tuner anyway as the shop will just put the car on a dynomometer to tweak the computer better than you can by yourself, most shops use SCT brand) then you want to do most of the mods you're planning on doing BEFORE the tune is done.
HP gains vary with the particular vehicle's engine and mods. MPG may go up, down or stay about the same with the various mods out there. In general, you will usually lose some MPG with most mods but there are a few basic ones that will gain you MPG and HP.
Note that CAIs are gimmicks. A high flow air filter like a K&N for your stock airbox will give you as much or more gains than a CAI because of the fact that almost every CAI out there isn't a cold air contraption at all. Most CAIs have an open element air filter in the engine compartment where heat is being generated and it gets sucked in to the engine at higher temps than a stock airbox. Hot air is not good for producing power in an engine. Even CAIs that have a "shield" are nothing more than gimmicks as the hot air still gets pulled in around them. The other issue with CAIs is that many use metal tubing to give it the bling factor. Metal tubing does flow nice and smooth but it also conducts and retains heat much more than plastic does. This in itself also makes the air charge going into the engine hotter.
So my suggestion is buying a K&N filter for the stock airbox. It will free up a hp or 2 at the higher RPM range and gain you maybe 1/2 MPG and it's a cheap mod.
A cat back exhaust is a good idea and it's free HP and MPG because all you're doing is freeing up the restrictive stock exhaust at the expense of nothing else. Even better than a cat back exhaust for after your stock y-pipe(which technically makes it a single exhaust with a dual outlet) would be a true dual exhaust. The 2010 Mustang exhaust is slightly different than a 2005-09 but I found an article that talks about the specific things needed to convert to a real dual exhaust:
http://mustangforums.com/forum/2010-current-s197-appearance-section/633057-v6-true-dual-exhaust.html
It doesn't sound that expensive either. This mod may give you about 25 HP. Ford Racing sells a true dual exhaust kit for your year but it's a bit pricey. It is stainless steal though and it comes with a GT valance. There may be other brands as well.
Lighter pulleys aren't worth the money or trouble. There is very low HP gain if any is noticeable at all.
With the high flow K&N, real true dual exhaust, and a tune you will feel a definite power increase and depending on the severity of the tune an MPG increase as well. With the mods and tune you may get about 40 HP overall give or take.
I saw another true dual exhaust kit that is much cheaper than the Ford Racing one and is supposedly stainless as well:
http://www.blueovalindustries.com/exhaust/2005-2009.html
He also sells on Ebay. I don't know if it would be cheaper and look better to do what the guys in that Mustang forums link up above discussed though since you have to physically cut your original valance with this Pypes kit from blueovalindustries.