Agree with Spec's recommendations above. An alternative to nerfs is an IMS plastic fuel tank; costs about the same as nerfs and engine guard, offers similar protection and increased fuel capacity/range.
I would highly recommend an aftermarket rear view mirror/choke lever perch; this accessory protects left-hand handlebar switchgear from mirror stem collateral damage in a fall, and relocates the choke lever to a more protected place. Ken Sean folding mirrors have a greater survivability quotient in a fall than the OEM products; also, these mirrors can be folded out of the way when riding off road.
Off-road or not, upgraded subframe bolts are worthwhile; either the four-bolt set, or the drill-through three-bolt kit.
If you ride a Generation 1 (and I think you do), and if any water crossings deeper than 10" are in your future, the Tee mod
(redundant carb vent hose with opening high (e.g., under seat) on the bike), is essential. Otherwise, plan on a flame-out in the middle of the stream. (Please do not ask me how I know this prediction is valid!)
So, where are we? Proper aluminum bash plate (and Spec's low-profile oil drain plug sounds like a good idea), nerfs/engine guards or IMS plastic fuel tank, handguards (Tusk guards, with spoilers, are affordable and reasonably compatible with the KLR650; Rocky Mountain ATV/MC), Ken Sean mirrors tend to fold, not break), Tee mod, left rear view mirror/choke lever relocation bracket, upgraded subframe bolts . . . you're ready for the Dakar Rally, foofoo!
Oh, yes; extreme suspension flexing often results in the rear tire trying to eat the license plate; might want to consider relocating the tag out of harm's way.
AND, if you ride at night, I'd recommend upgrading the headlight lamp with the TPI product; ideally, with the TPI relay harness; or, other lighting upgrade.
Obviously, tires (or, "tyres," if you prefer!) are critical for off-road riding. Depending upon the severity of the terrain you plan to cover, you might want go from 50/50 dualsport tires (like Kenda K270s) to "DOT" knobbies (like Kenda TrakMaster IIs). Many treads available, many varieties of riding surfaces (e.g., rocky/sandy/muddy/etc.).