1.Upgraded Suspension/Suspension Lift. You'll need this to fit larger tires and allow your vehicle to handle all the extra weight for the rest of the things in this list and more. Not to mention the noticeable difference this mod will make to your onroad and offroad performance.
2. Tires. Should be self explanatory, but IMO its pretty much mandatory to go up a few sizes in a more aggressive LT tire for some extra sidewall, strength and traction.
3. Body Armor. We're talking about skid plates and rock sliders. Cheap insurance, protect your investment and prevent costly driveline and body repairs. Sliders also provide a highlift point for the 5th gens.
4. Accessories: Recovery Gear, Gloves, Tools, Air Compressor, deflators, Radios, etc. and a secure storage solution for everything.
5. A good roof Rack: Besides the suspension and tires, this mod comes in more handy than any other I have done.
I would say winch, but it's just not as high in the priority list as the rest, especially if you always offroad with a friend or in groups like I do. That being said, they are a very good investment and an invaluable accessory in a many situations. I don't need to own one to know that. Definitely next on my list now that I've done everything else.