Personally I'd go with the lift first for a better ride and handling on and off road. If you go out with at least one other rig you wont need a winch for awhile so make it your second purchase. Lastly get a locker but above all learn to wheel your rig stock then upgrade it to suit your wheeling needs.
Here's a case and point.....
I had a stock 88 YJ with open diffs on 31 MT's and a friend had an LJ locked front and rear and all the toys also on 31 MT's. We went out wheeling together and I ended up having to tug him out of a few mud holes that he got stuck in that I walked right through. We both had roughly the same size lift but he just went nuts and bought everything for his rig at once and then couldn't figure out why he couldn't go where I did with my stocker. Learn your rig and it's capabilities in stock form and when you do end up building it up you will be able to go where the "Big boys" can with a smaller rig with no problems.
l We're here for a good time. Not a long time. So have a good time the sun can't shine every day.