Since replacing my leased '98 Sport with an '01 in May, I've been very pleased. I also got the "loaded version" (Pioneer 6-disc changer, leather, moon roof) and enjoy the new toys!
As for off-road, she's been on trails in Moab and across Colorado so far and has performed nearly flawlessly. I did put in a K&N air filter and replaced the original tires, but other than that she's bone stock.
The only real issue I've had (other than some minor squeaks/rattles which have been fixed) was with first gear compression going out [
http://www.explorerforum.com/forums/showthread.php?threadid=22155]. Ford is aware of the problem and knows how to fix it (covered under warranty). Evidently they won't do a recall since it seems only those who take theirs off-road experience this issue.
Other annoyances are minor. Mine include the coin holder - ARGH!!!

The coins are easily knocked out and it takes careful aim to put coins into it. Another annoyance concerns the subwoofer cover in the back and its habit of popping loose. My dealer finally fixed this with some double-sided tape.
Overall though I'm quite satisfied with my 2001 Sport. It has great power (though I would also prefer having 4:10 gears like on my '98), a decent ride and performs very well off-road. Enjoy!