Would you mind sharing what you've done? I'm really leaning this way, even though you end up with a KLR with more $ in than you could ever recoup it's still much cheaper than other options.
I don't think I can remember everything to be honest with you and a lot of of what I did does nothing to make the bike ride/handle better on blacktop or dirt. Keep in mind these changes have been made over the last 6 years and 35K miles of use.
1. The biggest change for ride quality both on road and off was to improve the suspension and have it dialed in for my weight. I tried a few cheaper things and for the front, wound up with straight rate Sonic springs, Race Tech Gold Valves, and an Eagle Mike fork brace. Rear was easy, a Progressive Rear shock. There are better shocks available but the Progressive works good for me.
2. Tires. I use Shinko 705's and Kenda 761's for street use. Define street use as commuting and easy dirt road dual sporting. I have a second set of wheels with knobbies mounted for rides that typically have more dirt and less blacktop. These wheels typically go on if the bike winds up on the trailer to go a long ways from home or when I know in advance the ride will contain terrain that requires more off road traction. Favorite knobbies would be 606 rear and MT21 front. I am currently have a set of T63's mounted based on price and that I was looking for a little more friendly blacktop ride for a long trip. I also have a an 18" front wheel that I run a rear knobby on. People will tell you the 18" front wheel sucks, but KLR's are heavy on the front wheel and the bigger tire floats very well on sand and mud and the taller profile tire all but eliminates pinch flats in rocky areas. It is also about an inch short than the 21" so it quickens up steering on twisty blacktop.
3. Brakes. braided steel lines and EBC pads. I have considered the big front rotor for better stopping power on blacktop but continue to use the stock rotor. I am perfectly happy with the front brake on dirt.
3. Gearing is a compromise on a KLR. I have used 14, 15 and 16 tooth front sprockets. If trailering or not having to ride a huge amount of high speed blacktop I use a 14 tooth front. If I know I am going to need lower gearing on the ride, I leave home with the 14 and just ride a little slower. For general all around use I have found the stock 15 tooth front to work the best. Didn't like the 16 at all. Dropped the RPM on the highway but I used more gas as I had to turn the throttle farther to maintain higher speeds.
4. Keep the bike light and narrow. This rules out big hard bags for me. They are big and bulky and allow you to carry too much stuff/weight with you on small to mid sized dual sports. Currently using Wolfman soft saddle bags, top dry bag, and small enduro tank bag when I have to carry a bunch on a long dual sport ride. I also chose these because they are absolutely water proof and can also be used on my WR250R. For Street use and easy dual sporting I do use an old GIVI top case. Narrow is still good on the street for Metro traffic and there are no side bags for catching wind on breezy days. If what I plan to take won't fit with these options I have packed too much. For a day dirt ride that doesn't require a lot of provisions I have been know to use my old Tractor Supply tank panniers and the Wolfman Enduro tank bag.
5. Radiator protection and range. On the old style KLR you can't beat one of the 7 gallon IMS tanks. It gives you the side protection you need with out having the weight and bulkiness of the metal side guards. If riding more technical off road where range isn't important I start the day with a half of tank of gas. For local commuting and easy dirt roads you can't beat 300 miles to Reserve.
6. Comfort. I use a Corbin Flat seat with beads. The Corbin was on the bike when I bought it used many moons ago. Beads drain water when you are riding in the pouring ran and let air get to your but on hot days. You either love them or hate them. Symtec Grip/Heaters with BMW tappered grips. My KLR also does duty as my cold/crappy weather commuter, so I wanted a little more wind protection. I am using a Turbo City wind screen and bracket. I pull off the wind screen in the hot months of the summer.
7. Electrics and lighting. Th stock headlight isn't real bright at night. Fixed with a cheap HID conversion also saves 20 watts of power. LED tail light bulb is brighter and saves watts as well. Cheap 280 watt aftermarket stator and switch that turns off the headlight. Gives me all the power necessary for running heated gear on cold wet days.
8. Engine. Doohickey change. The spring was broken on mine when it was changed out at 6K miles. That is about all that really should be done to the engine. I am a BIG boy and wanted a little more power at highway speeds riding in to the wind. About 15K miles ago I installed a 685 piston and Stage II head. The biggest benefit is the amount the vibration that is reduced compared to stock. Makes bike much more pleasant for long blacktop rides. I also got the slight extra power for highway speeds I was looking for. Also installed a thermo-bob shortly after the 685 was installed. I have used a couple different mufflers including a Staintune, and I like the stock muffler the best. The 685 is also known to be cure for oil burning KLR's. My original top end burned no oil at 20K miles. My particular 685 uses a little oil.
There are a few things I tried and didn't like over the years. That is the one beauty of KLR's there are lots of them out there and lots of used parts out there. It makes it real easy to pick up used parts at good a price. If you like the the changes you made great if you don't you can pull the parts and easily resell them. Some of these have been posted before.
KLR as purchased with 1300 miles
Fall Color Tour Arkansas
East Texas Dual Sport Ride
Arkansas Spring Ride
Capitan Gap New Mexico with 34K miles