Here's my own experience after 14 years of XJ ownership with trial & error:
Cold air intake & cone filter: Definite improvement in throttle response, slight power gain, make sure filter breathes ambient temp. air by shielding it from engine compartment. The best ones are home-made with el cheapo parts from Home Depot so don't spend $250+ on an aftermarket intake.
Throttle body: Removing the taper at the bottom of the stock TB to make the whole bore 60mm will suffice on a bolt-ons 4.0. Throttle response noticeably sharper, slight power gain. A 62mm TB is only really necessary if you add a ported head with performance cam or build a stroker. Just take your stock TB to a lathe, have it bored out to 62mm, and make your own oversize throttle butterfly. Use the stock butterfly as a template and make the new one exactly 2mm bigger in diameter. Don't spend $200+ on an aftermarket TB.
TB spacer: Remove the helix and make the bore smooth to the same diameter as the TB bore. Slight mpg gain, slight torque gain at low/medium rpm. You should find one for not more than $50.
'00+ intake manifold: Slight mpg gain, slight torque gain at low/medium rpm. Only worth it if you can find one cheap i.e. less than $100. You'll need to lengthen the wires to the IAT sensor and reroute a couple of vacuum lines. Easy.
Header: Only small power gain but good opportunity to replace crack-prone stock exhaust manifold. Header with longer primary tubes and 2.5" collector is best, and stainless steel will last forever resisting water and salt corrosion.
Downpipe: The crushed stock downpipe is a major restriction, so replacing it with a custom 2.5" downpipe that has smooth bends is a no brainer.
Cat: A stock cat that's in good condition isn't a major restriction but you can gain a couple of HP by replacing it with a high-flow unit.
Cat-back: A good quality 2.5" catback exhaust should yield an easy 6hp gain and is one of the easiest mods you can do. Straight-through stainless steel mufflers like the Magnaflow will produce the best power and last forever. Something to consider if you live in a wet climate and expose your Jeep to salty winter roads.
Computer chips: Waste of money on older OBD 1 Jeeps. Highly modded or strokered OBD II Jeeps could benefit from a custom programmed Unichip piggyback computer, especially the more finicky '00+ models.
MAP adjuster: Airflow-enhancing mods could cause the engine to run lean, so increasing the injector duty cycle by adjusting the voltage into the MAP sensor is a cheap and effective way to add more fuel, restoring the A/F ratio back to normal. Don't spend $100+ on an aftermarket unit. Build your own with $10 worth of Radio Shack parts. It's easy and my write-up at
http://www.angelfire.com/my/fan/MAP_adjuster.html tells you how to do it. Works best on OBD I Jeeps, OK on '96-'99 OBD II Jeeps. Doesn't work well on '00+ Jeeps whose computers are locked into a stoichiometric 14.7:1 A/F ratio at WOT from idle to 2300rpm.
Ignition upgrades: The stock ignition system is so good and reliable that the only things you'll need to upgrade are the plug wires. The stock Champion copper plugs are best.
Mechanical fan delete: Slight power gain, slight mpg gain, and faster engine response. Just make sure the electric fan that you use to replace it is properly shrouded and can pull enough air to prevent the engine from overheating at idle. Best if you wire it up to work in tandem with the factory auxiliary fan.
Ported factory head: A very good mod to do if you're skilled with a die grinder and aren't afraid to have a go. Potential 15hp peak gain and more power from 3000rpm upwards without loss of low rev torque when done correctly. You could have the head surface milled to raise the compression ratio for a further small HP gain.
Performance camshaft: Swapping a performance cam into the Jeep I6 engine is far from being a stroll in the park. Basically a full weekend job with a teardown of half of the engine required so it's not for the faint-hearted or light-walleted. Only worth it if you're going to port the head at the same time (it'll have to come off anyway). You'll also need to upgrade the valve springs/retainers and you might need to replace the timing set, adding to the cost. Don't forget to install new lifters, slather cam lube on the lobes/lifters, and follow a proper cam break-in procedure.
Roller rockers: The best are the easy bolt-on Yella Terra and Harland Sharp shaft-mounted roller rockers. HP gains are almost nil and they cost $300+ but the main reason for installing them is to have a more stable valvetrain at higher rpm, especially if you've swapped in a performance camshaft (essential if you've also upgraded the valve springs).
Stroker: If your 4.0 is nearly on its last legs and in need of a rebuild, it'll only cost a little more to swap in the crank/rods from a 258 and rebuild it into a 4.6L torque monster instead of doing a stock rebuild. The ultimate budget stroker is the one that I currently have in my '92 XJ, which is a +0.020" overbored version of the "poor man's" simple stroker recipe from
http://www.jeep4.0performance.4mg.com/stroker.html
