My opinion is to do a cold air (I did K&N), Full length headers and true dual exhaust (I had Doug Thorley headers, no cats and Flowmaster 40 mufflers).
I had a 2001 Sierra Z71 with 5.3L
As for chips/tuners, I put an Edge CS Gas tuner/programmer in mine, it's a little on the expensive side but it did a great job of tuning. I ran on the towing mode most of the time and it gave me some extra torque that could break my 35" tires loose on dry pavement. Hypertech Max isn't bad either, I had that in it first then switched out to the Edge. Diablo sport is half decent, I have never used one but a buddy of mine used one in his Ford Lightning. Other than that not much in the way of chips/programmers, I put a 'chip' in my 99 4.3L and it didn't do anything, So if you are looking for electronic performance don't put a chip in, put a tuner/programmer in.
Otherwise a performance tuned PCM like Molson said is always an excellent option.