Ill throw in my experiences with my 4 squirrels. Everything was done in the past 2 years My jeep now has 84,000 miles. Check my profile for details.
Tune up with coil, plugs, wires, cap rotor- noticeable power gains, and minor milage gains (but my old plugs had chunks missing out of the tips)
Cold Air Intake-No power or milage gains, just that cool intake "whoosh" noise
4.0L Throttle body- a little seat of the pants power feel, felt like it could live at higher RPMs easier, throttle response improved some
Flowmaster muffler and tail pipe- minor throttle response and the nice sound
Head rebuild-no noticeable power or milage, piece of mind everything was in good order
Electric fan to replace clutch fan- milage increased 0.5 mpgs, motor revved easier, more throttle response, down shifting the motor takes longer to wind down. Warms up faster in the winter too
4.88 gears-major power gains, milage jumped up 2 mpgs or so, defiantly worth it if you are running larger tires
My opinion would be to add an electric fan, muffler if you like to hear your motor, 4.0L throttle body if you can get one for cheap, 4.88s if you are going to 33s, and just let it be. Just my $0.02.