Like others have said, rocker protection is a must. If you do any serious wheeling you WILL take hits on your rockers and if they're not protected it will cause damage to the tub. Granted, it's typically just cosmetic damage, but once it's there it is near impossible to fix correctly and will likely contribute to rust.
After that, it depends on the specifics of your lift. Do you have a slip yoke eliminator, like previously mentioned, or do you have a transfer case drop? If you have a drop that's OK, just understand that you're giving up some ground clearance - and also the stock transfer case skid is a shovel. It gets hung up on everything. I'd recommend an UnderCover Fabworks high clearance skid.
Do you have swaybar disconnects or just extended end links? If you don't have disconnects you are really limiting your off-road performance. A lot of people (myself included) run the JKS Quicker disconnects. They're nice. Cheaper ones work equally well, they just take longer to disconnect/reconnect. Also systems like the Currie Anti-Rock work well and don't require disconnecting - but that comes with a hefty pricetag. Also, if you're disconnecting your swaybars and are going to flex the Jeep a lot you might want to consider longer brake lines, if you don't already have them. Flexing a lot also puts a lot of stress on your control arm mounts. Do you have flex joints on the control arms or are they fixed length? If they're fixed and you do a lot of flexing it tends to tear up the control arm mounts. You might want to consider upgrading to some adjustable control arms with flex joints. By the way, if you want to run that slip yoke eliminator kit mentioned previously you have to install at a minimum adjustable upper rear control arms so the axle can be rotated for the new driveshaft.
Also as previously stated, what rear axle do you have?? If you have a D35 you could be asking for trouble with 33" tires. If you have a D44 you're fine. If you do have a 35, you could try to upgrade the axleshafts to make it a little stronger and you would probably get away with 33" tires in all but the most extreme circumstances, but a lot of people consider upgrading a D35 to be a waste of money. Plus if you ever decide to go bigger than 33" tires, the D35 just won't cut it unless you don't leave the pavement. So a D44 (or Ford 8.8) swap might be something to think about.
As far as your front axle, unless you have a Rubicon you have a D30. The D30's aren't bad, and you shouldn't have any major problems on 33's as long as you don't overuse the skinny pedal offroad. I never had any issues on 32s (and in fact I'm currently on 35s) on a stock D30 running blues and black (moderate and difficult) rock crawling trails here on the east coast. If you want to upgrade, you have a couple options -one is to upgrade to a Rubicon version of the D44. The only problem with this is that the only part of a Rubicon D44 that is truly a D44 is the center section - the outer knuckles are still actually D30 parts. For this reason a Rubicon D44 is not nearly as strong as a 'real' D44. It is a good axle though. The problem is that they're really expensive - and again, you're really only paying for the center section.
Another option is a D30 from a Cherokee (not a grand, the regular XJ). The front D30 in a Cherokee (preferably '98 or later) is a high pinion design as opposed to the stock TJ D30 which is low pinion. This means the Cherokee axle has better ground clearance, and because of the high pinion design there is less stress on the ring/pinion resulting in approximately 30% more strength. The other bonus with the HP D30 from a Cherokee is that there are lots of them in the junkyards - they're easy to find and you can usually get them cheap - like $100-300. Rubicon D44 axles are virtually nonexistant in junkyards and you'd be lucky to touch a front Rubi D44 for under $1000 in good shape.
