Hmmm, KLR mods, I know a few things about those... As you'll see from my list, I've definitely leaned toward a more dirt oriented setup for the KLR. Most of what I've done, hasn't cost me much in terms of the KLR's road handling though. I bought the bike from a guy setting it up for a Baja trip that never happened. It's a 2004 model that had a lot of the aftermarket on it already, and only 1100 miles! I've now got just show of 3K on it and added a few things of my own.
Here's my list:
Progressive Rear Shock and Front Springs: Both can be had for under $400, and would be one of the first mods I would make to the KLR. The stock suspension on the KLR is adequate for highway and light trail, but is pretty horrible for the typical Advrider! Once setup properly, the Progressive setup makes the KLR much easier to whip through whoops, rock crawl, and jump. It also doesn't compromise the KLR's on-road handling! Let's face it, the KLR is never going to be a lightweight dirtbike, but with the proper suspension setup, there are very few places that I would feel uncomfortable taking it. As someone who has MX experience, it's still more capable than I am.
IMS 7g tank and Dual Star Rad and Pump Guards: Fit and finish of the IMS out of the box leaves something to be desired, but the thickness of the plastic trumps any aftermarket tank I've seen. It offers superior protection for the radiator when used in conjunction with the rad and pump guards and is lighter than the stocker and/or nerf bars. It also can be polished up, making it much more attractive. In terms of range, I'm getting 300 miles to reserve, and another 20-30 miles thereafter.
IMS Footpegs and shifter: I have the IMS superstock footpegs and aftermarket shifter. Both are much better than their stock counterparts. The pegs offer more bite and a bigger surface. The shifter is beefier, offers better case protection (welded on protector), and is a bit longer.
Bigcee Shark Fin: They don't make it anymore, but it's a quality piece and does a great job protecting the rear disk. I've banged it off several large rocks, and it doesn't flinch!
Dual Star rear brake mount and master cylinder protector: More ruggedized for those inclined to venture well off the beaten path. Both have proven themselves worthy in all sorts of terrain.
Dual Star pannier rack: I'm not sure if they're still making this, put it has proven to be very rugged indeed. I rolled my bike down a steep embankment, and the rack took the bulk of the trauma. The paint had some chips and scratches, but no indication of bending or any tweaks to speak of. It literally protected the whole rear end of my bike from any damage whatsoever! Aside from the protection element, it also offers a very nice mount for my Givi luggage, which I've also been happy with.
Acrylic/Lexan Light guard: I have one of the thick acrylic/lexan headlight guards, and it works surprisingly well, and is pretty cheap (around $10 shipped). I'll eventually need to order another, so you might want to order 2 to start with. A little Novus 3 step plastic polish cleans it up nicely with no visual distortions, and I'm guessing I'll get at least a years worth of heavy off-roading out of one of them before it's time to repalce it. I think this is a better alternative to the wire type protectors which would work well in terms of rocks, but impede the light, and may actually cause more damage than protection if they bent inward during a crash.
Aftermarket mirror mounts and turn signals: These are essential to any true dual-sporter! I've cracked an aftermarket mirror mount already, and it's much easier and cheaper to replace a $15 mount than a whole handswitch assembly! Same for the turn signals. The stockers are bulky and expensive to replace. Either cut them down, remount them, or go aftermarket. The KLR stockers are 23W so you may need to replace the flasher relay if you go aftermarket.
Moose Bark Busters and Skid Plate: Truly essential off-road items. They're worth their weight in gold in terms of protection for your bike and your body. I can't tell you how many times I've deflected my bark busters off trees in single track, or laid the bike down gently which would have otherwise resulted in broken levers. The skid plate also has taken it's fair share of heavy duty scrapes from rocks. If you're going to stick with the stocker, at very least, get a low profile magnetic drain plug or your asking for some costly repairs!
Protaper ATV high bend SE bars - A lot of people go for the mid-bend which is closer to the stock bar bend. Personally, I like the high bend better, because it's more relaxed and a better fit when I'm in attack mode (standing) for jumps or technical trail riding. Combined with the bark busters, they are nearly impossible to bend, and also take care of a lot of the vibration from the thumper engine as well.
Corbin Dished Seat - I've never ridden with the stocker, but I really like the Corbin Dished. Even if you don't need the extra lowering due to an inseam of more than 32", it's nice because it has a narrower dirt bike feel at the front, and added support in the back. It's on the firm side, but lightyears ahead of the stocker, and can easily accomodate 500 mile days.
Scottoiler - Not sure I'd pay the $150 for it (on the bike at purchase), but it is EXTREMELY convenient. It weighs practically nothing, and it's held up to trail abuse better than I thought it would as well. Overall, it gets a thumbs up for everything other than price.
Clearview +4 Windshield: It was on the bike when I bought it, and was the first thing I took off and sold. If you're 5'8" - 6'0", get something bigger or smaller... You will get terrible buffeting with this thing! The stocker is a better overall compromise, and won't take your head off when bouncing around off-road.
Upgraded Sub-frame bolts, rear brake mount bolts, etc. - The heavy duty bolts are cheap protection. Consider them preventative maintenance.
T-mod: Anybody who has ridden in heavy rain or water crossings knows this is an essential mod.
Odyssey Battery: A little on the heavy side, but I still recommend the PC545, since it's light years ahead of any other battery out there in terms of specs. and quality. Battery power is not something I want to compromise on.
Carb Mods: Thumb pilot screw is very nice to have at $15! It lets you adjust for altitude as necessary on the fly. Rather than go with a Dynojet needle, I'm running the shimmed stocker (2 - #4 washers) and the slide drilled to 7/64. In conjunction with the L-mod or 1" holes in the airbox, this mod really wakes up the KLR's powerband. I haven't gone aftermarket pipe yet, due to cost and not much reported real world improvement based on other's dyno runs. Eventually when my stocker gives up the ghost, I'll buy either the Pro Circuit or FMF Q2. I'm partial to the off-road style, and they both salvage the Spark Arrestor for USFS roads.
14T CS gear: The 14T is a must for off-roading. It costs you about 500rpms (higher) at cruising speeds, but makes the bike very much more rideable in the lower gears. It will also make the bike a wheelie machine
if you're so inclined... If you go with the Arrowhead CS nut, you can also carry the stock 15T with you for prolonged highway rides, and it makes changing sprockets a 15 minute affair.
Home Depot Welding Rod Tool Tube: This is one of the best $10 mods out there. It's rugged, and offers just the right amount of space you need to get all of the essential off-road tools into a single compartment.
I'm sure I'm forgetting stuff... but whatever I've missed, I'm sure someone elese will cover.