What types of gauges should I get for my SHO?

Oil Pressure.  Never trust those factory Idiot lights.  I have personally seen several cars with no drain plug or oil filter and no oil in the crankcase not have the oil light on.  Sure the light came on but after you revved the car past 1,500 rpm the lights would go off.  Sure it knocked like hell, but the light wasn't on.  Put oil in it and it quieted up.

For your automatic.  Trans fluid Temp gauge if you like to drive the SHO hard.  The A4XS is weak to begin with let along behind a Stock SHO.  I haven't added one yet but when I get some extra $$ one of these will be going in.

Accurate water temp gauge.  This would be lots nicer than the stock gauge (which is somewhat vague).

Fuel pressure.  I'm thinking of adding one of these if I can decide exactly how I want to add it.  I don't really want to pay the $190 for an electric fuel press gauge.  But I don't want fuel in the cabin.  And a
gauge on the hood would look tacky.(IMHO)

Vacuum Gauge.  Give you something to watch...

Air/Fuel gauge...  Nice to know if your rich or lean...

Amp/Volt Meter - Good to tell if/when you're drawing more power than your alternator can produce.

Cost: electrical temp gauges tend to be cheaper, but electrical pressure gauges tend to be more expensive, sometimes significantly so.

Installation: Electrical gauges are easier to install as there is no extra plumbing involved. You install an electrical sender unit in the appropriate place (e.g. buried in the oil drain plug for my oil temp gauge) and simply connect wires to the sender. Mechanical gauges require a fair amount of plumbing to get what is being measured to the gauge. Sometimes you install an isolator on the firewall (for instance, you would not want a fuel line going to a fuel pressure gauge in the cockpit). I have to admit more familiarity with electrical gauges. 

Operation: Electrical gauges only work with the ignition switched on, whereas mechanical gauges don't rely on electricity.

Accuracy: Mechanical gauges tend to be more accurate, although I consider the accuracy of electrical gauges to be adequate for what I do. You are looking for fluctuations from what is normal more than an absolute number. So if your normal operating oil temp is 215 degrees plus or minus x percent accuracy, it will always read 215 unless something is wrong.

If you must have a mechanical oil pressure gauge, make sure the plumbing is sound and secure, or get ready for lots of hot oil in your interior!  I know of one SHO motor that lost its rod bearings because of a broken oil pressure gauge line.

The oil in the cockpit scenario need not be an issue.  Summit Racing sells a braided, stainless covered 4AN hose with 3/16" fittings on each end.  If memory serves me, the better Autometer gauges (I have "Z" series mechanical) have all the adapters needed.  In any case, the fittings are standard hardware items.

The 4' length is plenty for locating the oil pressure gauge in the space occupied (previously) by the ash tray.  Not cheap (39.95), but good insurance.

Mounting Solution Ford Radio Delete plate.

Having recently moved into my '95 SHO from four and one half years in a '91 Thunderbird SC, I severely missed the full instrumentation. With the kind assistance of my local Ford dealer's parts department, I ordered an OEM radio cover plate into which I mounted a voltmeter and an oil pressure gauge. The photograph below depicts the installation.

The gauges Ford used in the police edition Taurii can be ordered from Faria Instruments, and Cincinnati SHO (which can be found on the Vendors page) sells 2 (2 5/8") and 3 (2") gauge face plate for 93-95 SHOs that replaces the factory cassette/cigarette lighter box.  VDO and Autometer are two other well known gauge makers that have applications that can be used in the SHO.

The Ford part number for the DIN radio delete panel that will fit the SHO is E9SZ-6304371-A.

Mounting Solution

A-Pillar 

Mounting Solution

DIN Gauge panel

The below panel is mounted with three electrical Autometer "designer street rod" gauges.
 

Top view - notice the angled rings!

Front view.