First of all, it's important to know what type of four-wheeling you are building for. The type of off-road conditions you plan to drive in (mud, snow, rocks, woods, beach or desert sand) will ultimately determine what kind of modifications you will need to make to your vehicle so that it will function most effectively under those particular conditions.
Most recommend starting from the ground up. That means you should begin by selecting the appropriate tires and wheels. In fact, the most common improvement seen as an aftermarket accessory is the tire. That's because clearance and traction are the primary factors to consider when going off-roading, and choosing the right tire will ensure that you see an increase in both. More tire tips can be found here.
You can make a number of other modifications to your suspension in order to make your off-road driving more enjoyable.
The combination of lift kits and oversized tires can raise the height your SUV or 4WD truck for improved ground clearance off-road, meaning your vehicle will be able to handle tougher terrain. Even if you don't want lift, however, you can get a lot more control (and comfort) both on and off road just by swapping shocks.
Without question, the two most important components on your vehicle are its brakes and tires. Furthermore, the two things in a vehicle that you don't ever want to fail: your brakes and your steering. With these points in mind, a brake upgrade might be one of the wisest modifications you could make. New brakes will affect your off-road performance, as well as your overall safety.
If you want more get up and go, then consider adding some performance parts. Of course, you could tear apart your engine and change everything to make more power, or you can include some bolt-on performance enhancers -- the kind that sometimes don't even require you to get dirty.
If you're thinking of swapping bodies from one vehicle to another, the most important thing to keep in mind is the wheel base of the two vehicles. They should be the same size if possible.
A number of off-road situations can render your vehicle's headlights totally inadequate: mud, hill climbing, blowing desert sand -- to name just a few. Chances are, if you do a lot of deep woods driving, you'll likely find yourself in those woods at night -- by choice or otherwise -- more than once. These conditions may require additional types of lighting.
From here, the possibilities are endless. It's your personal preference that dictates what else goes into your project. Once you are confident that the basic underlying components of your truck are in top working order, you may want to consider accessorizing a bit. Here are some 4WD accessories that solve specific problems while providing a greater sense of pride in your ride.
Keep in mind that one modification typically leads to another, and another, and another, to the point that your weekend project vehicle has now become a full-time hobby. And for some, it's no longer a hobby, but a way of life!

