Get a V8! No, I'm just kidding. The best thing to do is start with the basics. An engine is simply an air pump, so the more efficiently you can get air in and out of the engine the better. Free up the intake with a conical filter/cold air setup and replace your exhaust with a less restrictive aftermarket system. A higher flow mass air meter might be another option but I doubt you would get much gain for the money spent.
Next you could add a chip to modify the ignition timing, fuel curves and shift programs. This will allow your engine to more efficiently utilize the previous mods. Beyond this the next easiest steps would be to reduce sources of parasitic loss. Switch to an electric fan to free up some hp/mileage robbing drag caused by the factory clutch fan. Try to eliminate any unnecessary weight. Weight is horsepower, although you will be hard pressed to make any real difference unless you gut the thing.
If you have the money, superchargers/nitrous are valid options each having advantages/disadvantages that I won't get into here. Cost and or complexity come into play real quick in this category.
Avoid gimmick items like throttle body spacers and those tornado things!
Best advice is be patient. Ask lots of questions and find out what others are using and having success with. More often than not there's a "recipe" of parts that just works for a certain engine. In some cases it may be just whats available (big problem with Explorers) or it may come down to just being the better part. After awhile you will hear the same brands being mentioned over and over and you will learn real quick what the popular choices are when it comes to tweaking an Explorer.
This is basic, but hopefully helpful.