Anything is better than stock. Personally, I'm a fan of K&N. People also seem to like the AirRaid and MOPAR CAI setups. The choice is pretty much up to how you want it to look under the hood.
Banks.
AEM Bruteforce.
By installing an cold air intake on a mustang
A cold air intake will increase your horse power
Cold air intake is better because it's denser.
A cold air intake regulates the amount of cold air coming into a car and ensures the air is properly filtered.
A cold air intake is an aftermarket part used to help open air flow to the engine. The cold air intake sucks up cold air from underneath the car and is attached to your intake manifold. So it is a pipe going from somewhere close to the bottom of the engine compartment leading to your intake manifold.
I've noticed better MPG. Look for an air intake with a heat shield, for best results.
You will not damage your engine if you remove its cold air intake. The cold air intake system is merely added to increase engine efficiency and performance.
there are plenty of "How-To's" for home made CAI's (Cold Air Intake) at Neon enthusiast forums (NeonTuners.com and Neons.org are IMO the best examples)
I would recommend putting a cold air intake in your es.
If there are a lot of deep puddles or it floods a lot, get a short ram intake since you can not use your cold air intake in those conditions (even with a air bypass valve). Alternately, you can get a K&N Typhoon intake that can convert between cold air and short ram lengths. If flooding is never a concern, or you don't mind constantly switching back and forth to get the most power in ideal conditions, then get a cold air.