Hmm - where to start.
First - be really careful with mud. It's so easy to get very very stuck or break something or drown your truck. Most of us that have been wheeling for awhile have learned to avoid mud. I go around it and look for rocks and ledges to climb.
You want to have fun - but you want to drive your truck home in one piece after that fun, right?
Learn how your 4WD system really works. When I got my truck I stupidly thought "it's 4WD - it can go anywhere!". But street tires (and even ATs) don't grip worth a damn - and your 4WD quickly turns into a 0WD when you lose traction. The differential sends all of the power to the wheels with the least grip.
Now that I have differential lockers front and rear, a solid axle, and huge Bogger tires it's a different story - but I still take it easy. I'm mostly there to camp and hang out, not to show off what the truck can do.
If I were going for mud, I think my first mod would be some M/T tires. Don't wimp out and get A/T - get something with some big damn lugs that can grab onto stuff.
Second might be a winch and a winch bumper so you'll have a better chance of getting out of stuff. Rock sliders are good for rocker panel protection, too.
Third - rear differential locker.
I think my best-first advice, though, is just to go out with other people - preferably experienced older ones that can show you what you can and can't get away with. If there is an active Xterra or Nissan club in your area that would be great. If not - you can find something - look on expedition portal.
Anyway - welcome aboard!
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