The most popular upgrade for almost any vehicle is the after market intakes. Here's a few that I have found for the Zetec engine. These are for a few different model Fords, but with a few mods, you may be able to fit them on any model with the 2.0 Zetec. Some are essentially the same thing, just different color option, for best matching your ride (If you do choose.)
Several Intakes, not only for the Zetec, but the Duratec as well
If this belongs else where, sorry. Just thought I would help out the new comers. Also, on some/most of these you'll either need to drill a whole for the IAT sensor, or go to a parts store, and find something to use for it, that already has a fitting in it. (Refer to njk1's post about installing their intake, and see the pictures. It's the coupler RIGHT after the MAF sensor.
EDIT (7-15-09) : After Almost 2 years, I have removed the invalid eBay links. If you're still looking for one, search for Zetec Cold Air Intake. ( http://shop.ebay.com/?_from=R40&_trk...All-Categories ) Definitely not as many intakes as there was a couple years ago.