This is a very open ended question. Some more information would be helpful. Do you plan to go four wheeling in it or just use it as a DD?
From what I understand 33s will fit under your wrangler without a lift if you have the proper back spacing on your wheels.
There are so many things you can do to customize your Jeep, you really have to decide how you plan to use it and then do research, research, research on the best way to get there. Some mods will exclude or allow other mods further down the road so you want to be sure to plan it out and have fun.
Your JKU is capable of a lot. A real lot. It's one of the most capable production offroad vehicles ever sold in the US, and its competition is slim.
As to what you "should and shouldn't do" from a lift/wheels/mods standpoint, there's really no answer to your question. Jeeps have endless aftermarket options depending on your budget, needs, and wants. Go take a look at Quadratec.com, 4wd.com, and JeepAddOns.com. Those are just a few of the aggregator type sites that offer multiple brands of aftermarket parts, then you've got the smaller companies that principally market only from their own sites, like Rusty's and River Raider. Order a free catalog from Quadratec and start flipping through the pages. Spend time on this forum. You'll start to figure it out.
As to what you "should and shouldn't do" from an offroad standpoint, the general recommendation is to meet up with some other Jeepers and go wheeling a few times. You'll learn your Jeep's limits as well as your own. That'll also help point you in the direction of vehicle modifications.
2010 JKU "Mountain" Edition
TeraFlex 2.5" Coil Lift : Old Man Emu Nitrocharger Shocks : 33x12.5R15 Goodyear DuraTracs : 15x8 Black Rock 909s : Other Stuff . . .
If riding in snow try to get the anti spin (LSD) option. Either way the JKU Sport is very capable and Duratracs have a very good snow rating so a good choice.
__________________ 2010 Dark Charcoal Pearl Jeep Wrangler Sport S Automatic
4.88 Yukon w/Trac-Lok rear and Eaton ELocker Front - Synergy Gussets - B&M 70264 Trans Cooler
BDS 3" lift - BDS Fox 2.0 Racing Shocks
XHD front Bumper - Trektop NX - Goodyear MT/R w/Kevlar 35X12.5X15 on MB Chaos 5 Wheels - Thrush Turbo Muffler
Stock sport is very very capable. I did a fairly rough run through some very wet and muddy rock gardens and trails the other weekend. The biggest thing I would say is 1) air down. alot. 10-15 psi will yield you far more traction than you've ever had before. 2) speaking of traction, use 4wd. If you're on a trail where you think a civic can't handle it, don't be afraid to just put it in 4lo and take it slow and steady. pick a good line, make sure you don't just mindless plow into mud and water without checking it first. and 3) armor. Step bars and tubes are not rock rails. You don't need full skids and a roll cage, but some ace rails or some smitty bars or something similar are a good idea, at the very least some ruby rails.
i know i was completely shocked at how my jeep performed, I only found 1 spot on the run where I had to get winched out that no one else did, and that was just because I was being a wuss about my sras and went super slow with a horrible line through some deep mud. jk/s and jku's can do much more than you can imagine. but some better tires certainly help