You can buy a tuner/cai combo. You just plug the tuner directly into the car's computer and it will upload the new tune(s) into the car for you. Not hard or difficult to do at all. An exhaust system will wake the car up a little bit more as well as give it a decent sound. Tuner/cai/exhaust usually give about 30-40hp on the 4.0L. You would definitely be able to feel the difference in the car. The next logical step would be gears/lsd/driveshaft. Then after that you can decide whether you want to go all out on the car or what way you want to take the car in. Me personally, I have done hardly any hp mods, mine are mostly all suspension mods.
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Chris
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