Rebuilding the stock shock has to be a personal choice based upon a number of factors. Riding style, rider weight, rider budget, rider expectations all play a part.
I can only offer comment based upon my set of factors.
Look at these two riders:
These two riders have similar riding styles. Both ride KLRs, both are similar in height, both spend time on twisty back country roads, rural highways, and slabs, and both ride some pretty good off-road at some pretty good speed.
The one on the left, the good looking one, weighs a buck sixty and finds the stock shock to be quite adequate. The one on the right, the slightly goofy looking one, slabs in at almost another hundred pounds and finds the stock shock to be completely inadequate.
I would never bother to rebuild the stock shock, even with adding a stouter spring to carry the extra weight. After the stock shock is rebuilt it is still made from un-hardened materials, is of an ancient design, has limited pre-load capabilities, and limited damping control. For me, rebuilding the stock shock would be throwing good money after bad. I tried to make the stock shock work for me and even got it so that it didn't pack up on washboard roads, but I couldn't get it not to be harsh on the pavement and couldn't get it to offer good control off-road.
As Bluehighways points out, the stock shock can be rebuilt quite inexpensively if you have the tools and access to a nitrogen charge. You can even send it off and have it rebuilt, with a new spring, for about $200. Realistically speaking, rebuilding it yourself will run $200 if you need some of the tools and a new spring.
I think one of the best shock builders in the country is Cogent Dynamics. They offer the Adventure shock for the KLR at about $500. If you want something a bit more tailored to your needs you can call them and talk to Rick who knows his stuff. He'd do you right setting up a Moab.
True, the Adventure is going to cost 2 1/2 times what a stock rebuild would cost. It won't be 2 1/2 times better than stock, though. I'd have to guess that it would be 10 times better.
I got a Moab shock from Cogent and had it built an inch longer than stock. I was dealing with Cogent quite a while ago, long before they came out with their newer stuff. I couldn't be happier with it. Good suspension transforms the KLR and is probably the best money you can spend on the thing.
If, at 5'9", you weigh in the 150 pound range then rebuilding the stock shock might be a good option. Respringing it and adding lowering links is a good way to drop it, too. But if you are much over 175 I'd say you'd be throwing good money after bad to rebuild it.