If you want to keep it simple and get a good deal with decent performance results, buy the Banks downpipe. The Banks downpipe will cost you about $110.00 shipped to your door. It bolts directly on the factory Ford turbo outlet and you do not need to mod the firewall to make it fit. It's a 2.5" downpipe.
ATS also makes a 3" downpipe but to use it, you need to either buy the 3" turbo outlet elbow or mod your current elbow from a 2.5" outlet to a 3" outlet. Before you decide to do any business with ATS, I would suggest you do some research on what is needed to do the upgrade. Also with the 3" downpipe you will have to make some firewall mods in order for it to fit between the transmission and firewall.
I installed the Banks 2.5" downpipe, with 3.5" exhaust and turbine muffler out the back. I also installed the Hypermax cowl air intake. Between those two mods, I picked up almost 2 MPG in Fuel mileage. Truck doesn't smoke much and pulls better ever..........