I bought the Dynomax exhaust from Summit as well--$75 after rebate is a steal. I didn't want anything particularly loud or droney. Did I gain any power? Beats me; I don't care enough to run a Cherokee on a dynamometer to see. Do I feel a difference? Hell no. Boogieman is being a bit closed-minded and arrogant to say that NOTHING can add power other than a re-gear or stroker. Hell, I could be pedantic and point-out that regearing doesn't add power to the engine--just changes the way the existing power is used. I could also be even more pedantic and point-out that stroking a 4.0 doesn't really get you more power out of your 4.0 because, once stroked, it's not a 4.0 anymore--it's a 4.5 or 4.7 or whatever.
Cold air, header, 2.5" mandrel-bent exhaust, electric fan, throttle body bore (TB spacers are a complete waste of money on a 4.0, though), head port/polish, AC delete...these things should net you power increases, but they will be MINIMAL. The 4.0's potential is pretty well tapped without doing some major modifications and/or rebuilding it as a stroker. Personally, I feel the 4.0 is plenty powerful and a pretty amazing match for the XJ.
Build Thread -- http://www.jeepforum.com/forum/f177/whats-chrokeese-build-thread-2525690/