Yes, congratulations on your new bike. It's a great bike with a few known and correctable weaknesses, and a broad range of uses. Regarding modifications, there's a huge assortment of after market parts available for the KLR and you can select mods which will best fit the uses you intend for your bike. My own preferences:
1. Doohickey (a must IMHO)
2. Front brake upgrade
3. Radiator shroud bolt kit
4. Subframe bolt upgrade kit
5. Aluminum skidplate
6. Better handguards (with metal spine to better protect levers and hands)
Three of the companies which sell aftermarket KLR parts are Happy Trails, Dual Star, and Arrowhead Motorsports. All have websites which you can find via google. By going over the lists of parts these companies sell, you should be able to decide which modifications will best fit your bike and the type of riding you will be doing.
I would second the recommendation to loctite everything. Every new KLR I've seen has vibrated out the radiator shroud bolts, and the shrouds fell off, on the very first ride if the dealor hadn't loctited them before selling the machine. A more permanent fix are the self locking bolts sold by Dualstar and mentioned above. You don't have to go off pavement for bolts to loosen - it's the vibration of the engine, which, typical of singles, is at the right frequency to loosen bolts, that does it.
If you're going to be spending a lot of time off-pavement in remote backcountry hunting, etc. you might want to make your bike as "bulletproof" as possible (pun intended! ;o) ) regarding crash damage. The nerf bar set made by Happy Tails is excellent for this purpose and has saved me a lot of crash damage.
You certainly have beautiful country for riding a dual sport. In the fall of 2002 I road the section of the Trans America Trail that goes through the Arkansas Ozarks and the autumn foliage was spectacular - really beautiful.
I hope this is of some help.
[This message has been edited by liketoride2 (edited 04 January 2005).]