all good input so far. First, find some off road forums...just like this outstanding RV forum there are off road forums that are a great resource. http://www.jeepforum.com/
is just one. I also use a few in my home area.
A couple of things I did not see mentioned:
On board air: Either a sturdy pump (Viair) or a Co2 or nitrogen tank. I have an on board air and tank on my motorhome for airing up for the drive home (and running a Wolo Giant air horn) and a Co2 tank on the jeep to air up when leaving a trail and on to another via pavement. Also very important to have air on board to fix a flat. If you have not learned yet, you want to run low air off road for a more comfortable ride and better traction. Typically you can refill (4) 33" tires from 8 lbs to 30 lbs at least 3 times, and a 10 gallon of C02 (refill) shouldn't cost more than $15-$20.
In an effort to conserve Co2, I will drive short distances on pavement with low air from one trial area to another, but not more than about 50 mph, and not more than about 20 miles. This of course depends on your vehicle, and your comfort level.
Skid Plates. You want to protect the tranny, oil pan, steering box, and fuel tank. There are alot of options for undercarriage protection. Get as much as you can. Even if you dont anticipate crawling in the rocks, some easy trails will have rocks to maneuver through.
Heavy duty steering: Currie offers a heavy duty steering assembly that is a must. Strengthens the front end and with a good stabilizer, death wobbles are non existant.
You also want a high lift jack (including the accessory kit) if your going to lift the jeep. It will not only help with flat tires (you will flatten a tire when wheelin), but also other repairs, or use as a come-along...
Tools and spare parts: if you are serious off roading, or are exploring many miles from help, carry tools for a variety of repairs. As for spare parts, a few things come to mind like a starter if yours is an auto trans, serpentine belt, spare stock axles (one front, one rear), u-joints, anti freeze and oil...and alot of drinking water and snacks! If your wheelin with a group and not extreme, no need for all the extra weight, but trust me...when you break down 100 miles from the nearest paved road, simple things like these are life savers.
Budget your mods wisely. I would love to have an after market anti-sway bar, but honestly most of them are simply an easier way to disconnect. I have quick disconnects on a stock sway bar and get along just fine.
Bottom line is as Tom mentions Just Empty Every Pocket couldn't be more true! It's all about what you want to do, and how much money are you willing to spend to do it!
MOST OF ALL! Have fun and be carefull!