After a lot of research, we are running the following combination on our '02 7.3:
1. We had Brian's Truck Shop professionally rebuild our transmission and install the much larger transmission cooler that they use on the 6.0 trucks. It is warrantied for unlimited miles and two years.
2. DP Tuner - 20HP tow tune (recommended for towing 15k or more - we are at 15.5k). It is specially matched to our transmission rebuild and has generally better shift strategies than the stock Ford PCM (for example, downshifting to 3rd under load at about 50 MPH in stock form releases the torque converter lockup - lots of heat. The tuner immediately re-locks the TC). The tuner also has a decel tune, which uses the exhaust back pressure valve that is normally used to restrict exhaust flow in cold weather as an engine brake as well as making sure the torque converter remains locked to maximize effectiveness.
(Note that both of these are linked in my signature, below.)
Other than that, I'm running an open air filter solution using the NAPA 6637 filter element (on truck forums, it is referred to as the "6637 mod"). The stock Ford airbox clips tend to break. This solution was cheaper than replacing the airbox, though it is admittedly fairly noisy.
I wouldn't bother with a 4" exhaust unless you also upgrade the turbo to a larger outlet (I've had this explained to me, but am not good at re-explaining it).
General rule of thumb on tuners - if it plugs into your OBDII port, it is less desirable and more "canned" than a more customized solution that attaches to the auxiliary data connector directly on the PCM.
With this combination, I'm getting around 9.5 to 10.5 mpg pulling our 15.5k Big Country (unless it is windy, then it drops) generally around 62-65 mph. Throwing tuners, exhausts, intakes and other parts at it are generally not going to gain you much in the way of fuel economy.
If you do add any tuning, definitely install at the very least an Exhaust Gas Temperature (EGT) gauge and have the pyrometer mounted in one of the exhaust manifolds. You'll want to keep those temps in check. Tuners are basically just adding more fuel, which in turn generates more heat.