If I could do it all over again, I'd get my Al's A-arms and MOOG H.D. LBJs in before ANYTHING. I've said it before, and will say it again: CRAP STOCK COMPONENTS. Not every KJ is defective but we all know that their ball joints high and low are poo without a grease-zerk at least!
After that, get armor, meaning skids and rock sliders. If you didn't get any from the dealership, you will need a front diff skid, an engine/tranny skid, a transfer-case skid, and a gas tank skid. Expensive, but all worthy investments. The beefier the better, though, especially if you come across rocks. Let's just say I originally bought a Rusty's E/T skid

and in the next month or so I'm getting All-J's SuperSkid. What a waste of money that Rusty's E/T skid is! Their gas tank and t/c skids are fine though. As far as rock sliders, All-J made the original "tried and true" 'Boulder Bars' for the KJ. Carolina Rock shop does something comparable, and Rock Lizard Fab has 3 different models. I'm getting Rock Lizard's Super Skink Sliders, they are super beefy

. Armor really all depends on your expected terrain. Out here in Colorado we see mostly rocks and I learned my lessons: I have to replace my Rusty's E/T skid after it bent into my oil pain; I still have to repaint my rocker panel after an incident with a rock or two and I definitely need my sliders!
Once you've been 'beefed', get a lift and then a good set of 245/75 mudders or all-terrains. A lift is a huge decision, choose wisely and use your LOST resources to find what works for you. You then might want new rims or spacers. My Destination M/Ts (very aggressive tread) rub when I am in a full-lock turn, and I like my stock aluminum Limited rims, so I got spacers. I love the stance now, and I can finally u-turn again!
After you have all those mods, you should have a dependable and capable Jeep. These mods just bring it up to par with the huge world of offroading Jeeps. Mod your Jeep to fit you. I go camping and hiking a lot in the summer and spring, so now that I can finally through the rough trails and backroads of my local National Forest, I got a full-size roof rack so I can carry everyone's gear and free up room for more passengers/fellow campers. Have fun!
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2003 Limited, Silver - L.O.S.T. # 068957 Rockies
http://www.cardomain.com/ride/2127390/14
2006 Kawasaki KLR650