first things first
Okay, the very first thing you need to do, before you even begin to think about lifts or even armor (I can't believe no one has already mentioned this!) is to get tow points front and rear. Because the XJ is a unibody, you can't just loop a chain around the frame to pull yourself out if you get stuck.
Receiver hitches work well. Especially in the rear, that's probably the very best solution. If you don't want a receiver in the front (and they can be VERY useful!) then get a hook kit from Custom 4x4, or Rusty, or maybe even off a junkyard XJ with factory hooks.
Next thing is a few basics for inside the Jeep: tow strap, first-aid kit, tool kit, a decent jack (Hi-Lift is the best).
NOW we're ready to talk about armor. Gas tank and transfer case for sure. Rocker panel protection should probably be next. Differential protection is pretty important also.
At this point you're ready for swaybar disconnects.
After all this, then you can start thinking about lifts and bigger tires and the gear change that goes with them, not to mention an SYE when you get driveline vibrations, shocks, brakelines, trackbar, and all the rest. This is where the money starts to really add up!
Saw an XJ at the mall the other day. 4-5" of lift, big mud tires, winch on the front, and no tow points. What a poser!