If you are pushing your rig to it's limits or if you ever go out with a single vehicle then a winch should be considered a necessary upgrade.
The cost of a winch can be daunting, especially if your vehicle requires a custom bumper in order to mount it, however this is not a place to cut corners. You don't need to go top-of-the-line, but even if you have to save up a while you are better to get a name brand winch rather than buy the cheapest one you can find. Remember that it's not like a toaster that you can simply return if it fails, a winch failure can leave you stranded or even put you in a dangerous situation.
How strong of a winch do you need?
Don't make the mistake of thinking your 4,000 pound vehicle only needs a 4,000 lb rated winch. That would be fine if you were just pulling it along a smooth road, but add a steep hill, dragging over rocks, or sticky mud, and you really need a winch rated for around twice the weight of your rig.
A typical Jeep or compact SUV should have an 8,000 to 9,500 lb winch. Larger trucks should have winches rated for 10,000 to 12,000 lbs, and monster mud bogging rigs will often use winches rated for 16,000 lbs.
Not every winch fits every bumper or mount. Decide on your bumper first, then get a winch that fits it. When in doubt go with one with a relocatable control box.
Steel Wire Rope or Synthetic Rope:
Steel Rope is more durable and is less expensive, but it is heavy and harder to handle. It also can be very dangerous if it snaps due to the fact that it recoils with enough force to kill someone.
Synthetic Rope is far lighter so it affects your vehicle suspension and handling less, and it is much easier to use. Unlike steel rope it does not recoil if it breaks, so it is far safer to use. On the down side you have to be more careful with Synthetic Rope as it is subject to abrasion, can be easily damaged by rocks, and can be degrade by exposure to sun.
You can buy winches with built-in air compressors and other non-related features. Stay away from them. It's extra weight on the nose of your rig, it is exposed to mud and debris, if it fails it is hard to replace, and buying a winch and compressor separately won't cost you any more than buying an integrated unit.
The best winch in world is not going to do you any good if you don't have anything to attach it to. Sometimes this will be another vehicle, however it is often a tree so at the very minimum you need a "Tree Saver" strap to wrap around the tree and attach the winch hook to. You can't simply wrap the cable around the tree as it both kills the tree and damages your cable.
Gloves, shackles, and a cable weight are also necessities, and a pulley and winch line extension rope are needed for serious wheeling. You can piece a kit together from individual items or buy a Winch Accessory Kit that has most or all of what you need.
The best winch in the world won't do you any good if your vehicle electrical system can't power it. If your winch is for getting you off a log or out of a muddy rut then your stock alternator and battery will probably do the job, but for any heavy pulling an alternator under 150 amps won't be able to keep up and you will drain your battery in a matter of minutes.