Just bought a 2004 Grizz and was wondering what upgrades I should make initially, eg skid plates and the like.

I ride in Arizona by the way

 

Make sure you have a winch. If you don't beleive me, buy one anyway, when you get really stuck for the first time, see how long it takes you to get it out without using the winch!!! Its not fun.

Next, wear the heck out of the stock tires so you can go buy some good aftermarket mud tires. They make the biggest difference in handling/climbing and mudding!!!