If you are just driving around (not offroading):
1. Extra fuel filter (always keep in car)
2. Extra serpentine belt
3. Extra crush washers for the oil filter
4. CRD diesel rated oil filters (not the gasser ones that match the screw patter, but real diesel engineered ones)
5. Mini fuses
6. Extra CAC hoses
7. Extra boost pressure solenoid filter
8. A good ODBII scanner that works with the CRD (many do not)
9. Extra air filters (CRD goes through filters in dusty conditions very quickly).
For wheeling, I carry this stuff:
http://www.cardomain.com/ride/2662913/5
The main issue with this thing is that parts are not available at every auto store, they are usually special order.