It wouldn't hurt to change the O2 sensors on a 20 year old truck, OTOH if the Check Engine Light isn't on they're probably okay. New plugs and wires would help, coil I doubt would make any difference. A high output coil works this way...a more powerful spark allows you to run a wider plug gap for a bigger spark, like 0.40 to 0.45, that will give you an infinitesimal increase in hp and mpg at best. Lubes in the axles, t-case, transmission, can get thicker over time so changing them can help. A few months ago I had the axle lube changed in my daughter's Wrangler and lo and behold, the transmission upshifted sooner.

I conclude that the ancient lube in the axles was causing extra drag.
Air and fuel filters, I'd be a leery of running full synthetic oil in an engine that old which wasn't really designed to use it. Max Life would be good for you application. Plugs and wires, just Motorcraft or Autolite will be fine, don't use multiple electrode plugs like Bosch. Plain ol' NAPA wires, cap, and rotor are fine.
Due to the age of your truck I would advise doing a compression check on each cylinder. A low cylinder will hurt mpg.