It's been mentioned before, but the most important thing to do is take your vehicle out stock! Obviously you'll want another vehicle there to help out if you get stuck or whatnot, but just go wheel it as hard as you want. This will give you an indication of what you can and can't do as well as what you want it to be able to do. You can say, Hey, I want to go up there...going to need (insert high priced item here!!).
After that, what I ended up doing was sitting down and making a "requirement" list. For instance, I want a vehicle that can clear 37" tires, has solid armor all around yet keeps a low center of gravity. My bumpers need to handle the 37" spare in rear and a winch up front.
From here you simply start to prioritize your build. I'm going to armor up first (others lift first). Reason here for me is I want to be able to fall off the rock before I even think about climbing it. Personal choice though. Included in armor is a winch and other assorted recovery items.
The lift I'm going to run will clear 37" tires, but I'll be getting 35" first. I can wheel those for a year or two and then move up if I really want.
As far as making any modifications to the engine or the exterior, I can't honestly see anything that you would need to do for what you want it to do. For pure snow driving and mild off road use for the immediate winter, you're probably all ready to go as is! Might want to look at picking up a set of the stock Rubicon wheels (found here and other places for cheap cheap).
I've never made any of these mods, but have seen a lot of people get the air intake for the engine first, maybe a throttle body spacer. The biggest mod I would make to the inside is the grab handle!! Your significant other/friends/family will appreciate it more than you!
I guess the biggest part is what everyone else is saying. Go slow and be methodical!