I replaced the Ford OEM shocks with Bilstein shocks on our 2003 E450 back in 2009 and wrote up my experience in this 
thread.  It is true that the front driver's side shock is difficult.  The passenger side was easy.  Read the entire thread as there were several comments further down that probably would have made replacing the front driver's side easier.
The new shocks did make some difference in the ride, but my replacement of the Ford OEM sway bars last year with Hellwig sway bars made a huge reduction in the sway (side to side rolling).  Replacing the sway bars was much easier than replacing the shocks.