Ok, if you want power you need to get the motor breathing better!! (man i sound like a broken record on this site LOL )
Any way...the best CAI out there for the 5.9 Ram is the K&N filtercharger system!! Its about 300 bucks but worth it!!
For your exhaust...you do not need to spend the money on a cat back system (unless the extra couple hundred you spend is worth the "yeah man! I havve a such and such CAT BACK!! LOL) Your Ram already has a 2.5 inch exhaust...there is no need to go larger unless you super charge the thing!
Just get a nice high flow muffler, Flowmaster, and magnaflow are two great ones that wont break the bank. Other nice ones are Borla and Gibbson...you can also look into your more traditional ones like Headman, or Hooker.
your next step would be a set of headers! MAKE SURE YOU GET CERAMIC COATED!! New headers mean more heat!! The ceramic coated headers will keep the heat out of the engine bay!
Flowtech is a good lower priced (not cheap) header, Edelbrok is one of the better ones out there for the 5.9 but the 2 BEST are Messa (good luck finding a set) and PPH!!
After that you will need a larger Throtle body!
www.thefastman.com is a GREAT place to get this! Its a stock TB thats been ported to 52mm!!
Next you want the Mopar PCM!!
After that its up to you but you will see the best gains from a modified stock intake manafold, and either a set of 1.7 roller rockers or 1.6 roller rockers with a larger cam.
Oh, and dont forget the 180 degree t-stat
__________________
[color=green][i]96' Ram Sport 1500, 5.9 w/
Mopar Performance PCM
Fastman 52mm TB
Edelbrock Headers
Flowmaster 40 series exhaust
Custom "Y" pipe
"Performance Cat"

MAC Air Intake w/ K&N cone filter
with a "Home brew" Ram Air
MSD 6A Ig