When upgrading the crossover, the first ones to do are the series caps (caps that cross between + and -). The series caps are under more stress than the parallel caps, and have more impact on the overall performance. I've been using the ClarityCaps from e-speakers.com with good results, Tony Gee likes them which is good enough for me (http://www.humblehomemadehifi.com/Cap.html) And they're cheaper than all the other caps, sometimes much cheaper.
Adding bypass caps isn't a bad idea either. I have quite a few different caps I experiement with for bypass use. Here's a good site to read about different bypass caps http://www.ecp.cc/cap-notes.html I bought some of the Aerovox AFPS from electronicsgoldmine based on his notes, they were dirt cheap and perform very well. You can also find NOS Vitamin Q's on ebay all the time cheap, and they're nice performers.
For the inductors I don't usually touch them if they're air core, if they're ferrite core I'll consider replacing with an air core. But usually replacing the inductors simply doesn't have near the impact that caps do. Of course it all depends on where they are in the schematic.
Replace your sand cast resistors with good wire wound resistors, like Ohmite or Mills.
When I do a speaker, I do the whole thing ... including the enclosure. The best test of where a cabinet needs help is just using your knuckles. Knock on the box and listen for hollow sounding panels. When I find one, I measure the inside dimension and cut a 1" dowel rod to length. I put liquid nails on it, wedge it in real tight, and it always makes a huge difference. I also like to put bitumen sheet on the inside walls and then 'paint' over them and the entire insides with something like Cascade sound dampening liquid. After that routine, even the cheapest cabnets sound rock solid.
For rewiring to the tweeter and midrange I use a nice 14ga silver hook-up wire I found from North Creek Audio, the woofers and connections to the terminals get a good quality 12ga copper wire meant for car stereo amplifier power cable.
Another little trick I do is to put modelers clay inbetween the driver frame and the magnet assembly. I press it in there tight, as much as possible without blocking airflow out the back of the frame. Doing this can potentially stop resonances of the driver frame.