Welcome to the Club!
I concur with FrankB and Superslidestyle (Irwin) on the first mod being tires. The question next would be what size. Either 265/75/16 or 285/75/16's are good, however with the 285's you will get some fender rub in front.
Search "melt mod" over on thenewx.org to solve that issue.
Next would be either suspension or sliders, and then skid plates.
Suspension: you can start with a PML (poor man's lift) which is essentially 2" coil bucket spacers and adjustable shackles for the rear. Or, plan ahead and get the recommended above PRG Advanced 4WD lift, which includes coilovers, new upper control arms, add a leafs in the rear, and new rear shocks. Check out PRG products for prices and specs.
Sliders: Hefty Fabworks or Shrockworks are the two most popular, although there are several other manufacturers out there as well.
Skids: Both of the above mentioned companies make skid plates as well, that cover the radiator, engine, transfer case, transmission, and gas tank for the 2nd Gen Xterra. Pick your poison.
Having owned both products, the fit and finish of the Shrockworks cannot be denied, but the "wait time" for their products is the caveat: often times 120-180 days out. One tip: if you order from either company, product lead time can be saved if you order the skids "raw," or "unpainted." Then, prime them and bedline them to finish.