I used BlackBear Performance to do the tune on my '96. I had the TM removed as well as the rear cats and EGR. It felt snappier and didn't downshift as much towing my enclosed trailer around. I still had the stock exhaust system on there, so I switched to a Magnaflow muffler and removed both cats. This for sure helped it breath.
Mine is a 2wd, 4L80E, 4.10 gears. Running the stock tire size it got 10 mpg empty and jumped up to almost 13 after the tune, exhaust and a new AC-Delco air filter (it had a K&N that was filthy when I bought it).
IMO, the price of the tune is well worth it.
Headers should be another increase in power and MPG, but I haven't really thought about it. Especially after pricing a name brand long tube for this truck .