REalistically speaking, you can improve the power, but nothing is going to be a DREASTIC improvement (well, not counting superchargers or turbos!). The good thing is that the little 4 banger is a relatively light engine, will run forever if taken care of, and will cause minimal breakage to your drive train.
If you really want to know everything you can possibly do to the engine, go to
www.4bangerjp.com as bounty mentioned (if you cannot sign on, shoot me a PM with your mail and I'll shoot it over to Jeffy, so that he can let you in). But in summary, you can:
1. Regear, so that the engine hits the sweet spot when out in the street (not cheap, but the most effect I have felt from all my mods)
2. eFan (as already mentioned)
3. Air intake improvement (CAI, filter, TB, Spacer, etc.)
4. Ignition improvement (you can gap your plugs to.060" and use the Performance Distributor kit - Screaming Demon Coil, Cap, Rotor and Live Wires)
5. More aggressive cam (not many of these left around, though). You can also change the rockers to 1.7 ones
6. Go from stamped rockers to roller rockers (less friction, and the stamped ones bend, so they're not REALLy 1.6 as they should be)
7. Improve fuel delivery (make sure fuel filter is not clogged, improved injectors as already recommended, and, in case of YJ's, increase fuel pressure with an adjustable FPR).
8. Reduce load on the engine (replace water, alternator, power steering pump with more efficient ones)
Other things others have done is deck the block to increase compression, balance engine components, port match the block, etc., but the effects are varied. If you REALLY want to add power, a turbo is probably the cheapest (althgouh NOT cheap OR easy) route, but you need to deal with fuel management, and you have to keep in mind there is fabrication involved (not to mention the added power will now make the drive train behind the 4 banger more fragile - transmission and D35 would be my main concerns!).
I have yet to see a chip (or one of those MAP sensors add-ons) that actually work, and stay away from those "vortex" type spacers, as they do nothing for you except slow down the incoming air!