This is my personnal list of skids in order of importance (at least to me)...
1) Oil Pan/Transmission Skid - All other skids you'll need can wait. Bang up your tub, mess up your gas tank... Those can be fixed with little trouble. Put a hole in yout oil pan and blow the engine. Enough Said.
2) Steering Box Skid - What use is it to have a belly up or rock sliders if you can't steer?
3) Rock Sliders - Get the ones that bolt to the tub and tie into the body mounts. They offer the most protection with no loss of ground clearance. If your already doing it, get the ones with tubes on them and use roll on bed liner on the tube. They can get slick in the rain/snow. My wife is only 5'3" and uses them everytime she gets into or out of the Jeep. No need to slip and fall when a simple cheap can of roll on herculiner gives you a little grip in a few hours.
4) Belly Up/Tummy Tucker - Its already been mentioned on the forum before, but Undercover Fab makes a nice one and at a good price. Unless you need it already, don't do a body lift when doing this. Use the Undercover Fab low profile transmission mount and their original belly up skid. They offer a ultra high clearance skid that can be used with their low pro mount and a body lift, but why do more then you need. Call it good with the standard belly up and you'll be happy. This will also keep your center of gravity lower.
5) Upgraded Differental Covers - Drive smart and avoid banging your diffs if possible until you get these. Until then, keep a hammer and enough gear oil to fill them back from empty with you when you wheel. Also, keep some RTV gasket maker too. This way if you do crack one open you can hammer it straight (or kind of straight), RTV it to seal it in place again, and fill your differental back up to make it home. Not ideal, but it'll get you home. Just clean up your old oil if you ever actually need to do this. Also, hope you don't cut a hole in one. Then your really in for fun.
6) Upgraded Steering - Not really a skid, but you'll want a stronger steering set up. If you don't upgrade, grab an old set up off someone who upgraded for a trail spare. Otherwise, upgrade your current set up and keep the old for a spare.
7) Gas tank skid. I used the stock one and yes, its bent up. That being said, it held in place and I never got a fuel leak. I know other use the stock one as well. Get one once you have the other skids in place.
Most of these items can be found used. Search pirate4x4.com and jeepforum.com. Both have a classified section where you can find stuff all the time way cheaper then buying it new. I have built a good part of my TJ from stuff other people bought and never used or took off. Ebay and craigslist can also net some gems from time to time. I got my front long arms off ebay used for $300.00.
Others may disagree with me on this list, but it is just what I feel is important and the order I would do it all in if I was starting over. Good luck and see you on the trail soon.
