Equipment varies a little bit by year, but basically a 4x4 Sport got you body color bumpers, fog lights, and 16" wheels. An Off-Road Package (ORP) kept the regular chrome bumpers and got you fog lights, 16" wheels, skidplates, and teeth-rattling off-road shocks.
I used to have an '02 ORP. It was fantastic off-road but very tiring to drive every day because of the incredibly stiff ride (compared to the '99 Ranger XLT 4x4 I had before). Roads here aren't very smooth to begin with.
So basically the Sport did not include off-road shocks or skidplates.
Contrary to popular belief, the ORP did not include a limited-slip rear. It was optional and my '02 had one.