I agree with what some have already answered; let us know your budget and your intended use, and we can then help you with the best mods. For example, jcsanders79 recommended a Teralow 4:1 TC; this is a great mod if you will run in rocks, but not so great for mud (it's too low in my opinion). So it all depends on what you want to do with the Jeep...
For a daily driver that sees some trail action, a 4" lift, 33" tires, SYE, and some lunchbox lockers will get you through most trails without heavily affecting your onroad driving characteristics. You would probably need to reger to 4.88 for it to drive good and proper, though, and that can be expensive. You could also go with a 2" lift, 31 mudders, some lunchbox lockers and some light engine mods (4.0L TB, new injectors, CAI, and improved ignition system) and this would look good on the street and be reasonably capable offroad without requiring a SYE or a regear. Keep in mind that the stock jeep is not that bad at all offroad...
But what you do depends on what you want to do...
As for engine mods, most of them you will only notice where you used to have to shift back to 4th before, you will most likely not need to drop gears after, but dont expect much more than that (it's not like the acceleration is going to be felt by your pants-meter!).
Felipe