Yes often people look to get the most MPG possible, yet they forget to look at their tire pressure.
More pressure = better gas mileage, it;s just that simple.
Of course if you overinflate them to save 1 mpg and wear out your $700 tires early, then your not really saving anything, so getting the "right" tire pressure is more important.
K&N filter is first thing.
An Aftermarket Mass air sensor can help dramatically (They are often more acurate then the stock units and send signals to the computer twice as often, allowing more fine tuning to be done)
Also I reallylike the Bosch Platinum +4 plugs in the 4.0, despite what peope say, they work great, a noticeable improvement in MPG and performance.
There are aftermarket DIS ignition's you can use, like Jacobs, or MSD that can really boost your fuel economy, simply by making sure that it ALL gets burned in the combustion chamber. However these systems are expensive and the stock DIS is also pretty good.
Also make sure you are not getting any "drag" from your brakes and bearings. You would be amazed how much MPG will suffer if the parking brake cable is not adjusted just right.
Keeping up on maintnenece is a big one. Cleaning the MAS sensor often, replacing the 02 sensors at 60K miles, keeping fresh plugs, a clean intake (IAC),and a clean fuel filter all help.
Then there are synthetic fluids. I gained a pure 3mpg by switching my tranny, tcase, and rear diff all over to synthetic fluids (Mobil One full Synth for me).
Also having the fuel system professional cleaned every 80K miles or so can make a HUGE difference.
I find it's a trade off though, I gain a few MPG with one mod and totally destroy all the gains with another. So in the end you kinda keep good mileage while still making more HP. Like if you want the best gas mileage you want to run your temp at about 210-220 degree's (195 stat) however if you want to make more HP a 180 stat can help, but the fuel mileage will suffer.
Oh and there is one more BIG MPG gainer that people often overlook, removing the mechanical fanin favor of an electric or dual electric cooling fans. Getting a good electric fan that will cool a 4.0L right to fit is another issue.....It can be done, but most of the 4x4 guys dont like it. I tried it, didnt get enough cooling and put the factory fan back on. Someday I will modify my radiator mounts, and fit a huge electric or two in there, the power and MPG gains are worth it. A good electric fan setup also usually requires a beefed up battery and alternator......