You are right... I mean beyond some lockers I'm really pleased with the off road performance. Its cool to see the enthusiasm because I've been told to my face more than a few times that 4cyl jeeps are worthless. As soon as you tell them its a 4 cyl they glaze over with disinterest. :
A long time ago I made a thread about "making the leap" and buying into some offroad performance accessories such as lockers and a winch. Unfortunately I'm more poor than ever due to a total home renovation so at this rate it could be years before I do anything to it. But I'm happier than I was with it for sure.
For the lockers, you have many options. The cheapest one is to use your e-brake as a "fake locker". If a tire is spinning, lightly engage your e-brake to make the diff send some power to the other tire. Next up is a lunchbox locker, which are not that expensive, and you can install yourself. For under $300 you have a couple of options to get one for your rear (Aussie, Lock Right, Spartan, etc.). They are not as good as ARB, but it's better than open diffs, and will not break the bank or have bad road manners.
Here's an install write-up of a lunchbox locker, in case you want to take a look at that option. I would probably suggest locking up the front rather than the rear, as the D30 is stronger than the D35, but I doubt you would break the D35 on stock tires and a 2.5L with one of these...
As for the winch, just get a HiLift. In case of emergency, you can use it with some tow straps as a come along and manually winch yourself out. Not exactly the best or most comfortable solution, but it certainly beats leaving the Jeep stuck! Besides, that way you have many tools in one (look online for the multiples uses of a HiLift on the trail; they include limping back out with a broken axle!).
Anyway, I agree with Jeffy; just go wheeling and ignore what everyone says. You WILL have fun, guaranteed!
Felipe