Curious if you felt any difference in power with the intake, exhaust being coated, and the insulation on the intake tube? I feel like the answer is a hard maybe, when in hot hot summer temps lol.
So far, seems to have been a modest improvement. The Windstar intake made a huge difference, far more than I expected. I've made a number of changes beyond just the ones here and the Windstar intake, but I've managed to boost fuel economy from around 12 MPG to 15-16 MPG (6-speed Rubicon on 35x12.5 and heavy everything) altogether even before these items. I don't have good data for after the coated headers were installed yet.
The big issue the TJs have is that higher air intake temperatures lead the computer to pull timing aggressively, meaning less power is made for the same fuel burnt. If you can get the computer to pull timing less, you can get major gains in torque and fuel economy.
That said, you can't just go in with a tuner and tune out the timing modifiers without doing anything else since they actually have a purpose. They are there to prevent preignition and detonation in the cylinder to protect the engine at the price of power and fuel economy.
If you can (1), increase the threshold for preignition and detonation, and (2), convince the computer that preignition or detonation is not a risk, you can get pretty significant gains in torque and fuel economy. By itself, the computer will recognize the colder air coming in the intake, and as a result, pull timing less. But it won't recognize colder manifold air, since the computer estimates manifold air temperature based on IAT, ECT, and a few other factors. However, you can in fact change the tune to account for the lower MAT from coated intake and exhaust manifolds and get extra gains that way without much risk to the engine.
In short, it all has to work together as a system. Simply slapping a header on is going to net you very little. But a properly built intake and exhaust system with an appropriate tune can net you quite a lot.
Colder IATs will also directly increase power to a small degree by providing more dense air to the engine. The engine will provide more fuel to compensate, so you will get a proportional increase in WOT torque, but it also makes the engine less efficient at partial throttle due to pumping losses. In this case, denser air is a net gain if it allows you to hold a lower gear, but is otherwise a net loss at partial throttle. (This is why some highly efficient cars actually have a warm air intake.)
Note that I attribute the vast majority of my gains to getting the engine to pull timing less, not due to the denser air.