Cooler goes without saying, but I think the question was more aimed at internal mods since coolers and external filters can be added at anytime.
If you want to tow heavy and increase the output of the engine at the same time, I would advise a billet torque converter with a minimum dual clutch lockup (3 is better, 4 is overpriced)
Steel planetaries for forward and overdrive. Reverse can be replaced too, but its your call on weather or not you really need it. From what I can tell, reverse is geared fairly tall in the E4OD and it seems less likely for it to blow out if heavily loaded in reverse. From what I've read, E4ODs are more likely to simply burn out due to heat of the torque converter stalled under such conditions. This is where 4.10 gears and/or a transfer case low range comes in really handy. Pushing a heavy trailer backward up a hill in with an E4OD should simply be avoided unless you have the gears to do it barely off idle.
A mild shift kit would also be a good idea. Just something that is crisp and firm but not hard enough to bang the gears and drive shafts.
Being a 1994, you should already have a roller bearing center support, but in the off chance it doesn't get one installed.
An F5 model pump is also a good idea and this alone will increase your cooler/lube flow by about 15%. F5 pumps were first introduced in 1995 so yours definately won't have this. You can buy them reconditioned but price tends to vary widely and there are a lot of rip offs out there. Got mine used off Ebay and stuffed it full of new steel valves from TransGo's "SK" kit.
http://www.ctpowertrain.com/servlet/the-359/TRANSGO-E4OD-4R100-SKE4OD/Detail
Here is a crapload of other goodies for the E4OD and includes some decent prices on the steel gears I mentioned earlier:
http://www.ctpowertrain.com/servlet/Categories
I know I'm probably forgetting a few things but if I remember anything I'll post more later.