There is NOTHING you NEED to do though there is a fair argument for an Eaglemike doohickey with torsion spring by 5000 miles or so. EVERYTHING else is optional though some will also put the Thermobob (which is a great mod) in the "necessary" catagory as well.
There are a hundred things you COULD upgrade, but the need for that depends on you.....you're usage, experience, expectations and budget. I've done dozens of upgrades to both my KLR's and I think most of them are important for me......but everyone is different.
Modifying KLR's is a slippery slope! Fun, but it can get addictive and mildly expensive. ;-)