The answer to all the questions is: It depends.
In terms of whether they are a pain to own. They are pretty much like a DMax, they each have their own issues and parts are more expensive than a 6.5. One *huge* advantage of a diesel Ex over a Diesel Burb is that the Ex is *MUCH* more quiet!
Ex's either had the 7.3 or 6.0 DI Navistar, so mods are dependent on the motor. All years were prone to rust. And, it does not have much of a production run (IIRC ~1999 - 2005). Oh, and like the 6.5, the injection system's components have pretty much the same 100K mile life span.
In terms of 'good' and 'bad' years, many consider the 6.0 as the 'bad' years, but seems that there are plenty of mods to make that motor reliable. Once all the 'minimum required' mods to the 6.0 are in place, (IIRC) the internals can handle any stage of upgrade. Years for the 6.0 were 2003-ish (this was a crossover year with some 7.3's still in production) to 2005 when the model ended.
If the goal is to increase power, then (IMO) a 7.3 is the better choice but need to know whether it has forged or powder metal connecting rods in it. If the goal is to get just a tad better power (commonly known as Stage 1) or doing simple things like better intake, turbo, and exhaust, the rods will not make a difference. If the goal is to go past Stage 1, need to make sure it has forged rods. And for the 7.3, any exhaust mod / upgrade *must* also a mod the turbo (at a minimum the compressor wheel needs replacement) to avoid surge and destruction of the turbo.
IIRC For all of the years, need to do tranny mods for proper cooling and durability. Or ditch the slush box and drop in a ZF6 with a *single* mass flywheel
For mileage, like the 6.5 and DMax, it depends on the rear. With 3.73's, 20 mpg on the highway is easily do-able; 22 with mods and a tune (and keeping your foot out-of-it). With 4.10's, expect mid - upper teens. Naturally this presumes HT tires, so deduct 10% for AT's.
For the 4WD system, for all the years, do not expect much out of it unless installing a Detroit in the rear. Even with a factory limited slip rear, it is known to go 'free' and turn into a 1WD if completely stuck.
In terms of worth / price. Good luck . . . Dealers are picking them up at auction and them demanding ~$20K+ due to the 'rare' factor. My brother recently looked into a Diesel Ex and found that it was difficult to find one that was not beat-up, super high mileage, or snagged by a dealer who wanted big bucks for it.
