Welcome! That's quite a list of upgrades. Luckily those topics have been extensively discussed throughout this forum. Use the "Search" box in the upper right corner. Everything you listed can be installed yourself with basic hand tools.
Briefly:
Exhaust: not many people use them. Unless you're dong a heavy ECU tune, you won't benefit from it. You can always buy it later, so save that for Round 2.
Hubs: same as any old 4x4. Help on the pavement, cheap, easy to install. Many people here have tried Warn and Mile Marker models.
Spacers: not necessary unless you're getting 33+ inch tires and a lift. This is another good thing to save for Round 2 of modifications, when you've worn out the stock wheels and tires and are looking to replace them with something bigger.
Windshield: Lots of options here: Mahindra original (recalled), Mahindra replacement, OnTheRox, Fortress, Jeep CJ7 (requires minor modification). Costs are similar. You have to decide which wipers and top you want it to go with, because these different options aren't compatible with every top/wiper combo out there.
Tow receiver: Mixed reviews on the Mahindra product, not super beefy, but well made. There are stronger options out there, or easy D.I.Y.
EGR delete: it's usually included with your ECU tune. This site has lots of troubleshooting for EGR topics, and you'll want to discuss it carefully with the shop you choose to do your tune.