I talk a little about the different kinds of 4x4 vehicles in my answer to this question you don't say what type of vehicle you have, make sure the terrain you want to cross and your vehicle are comptable.
If you get in trouble you may be a long way from anyone, see This answer for some considerations on forest service roads.
Safety: (This should be in your vehicle always)
- Assume that if/when you get in trouble there will not be cell service.
- Map and compass (cell phone with downloaded maps is good also) and some knowledge on how to use them
- First aid kit
- Rain gear or tarp
- Food and water for a couple of days
- Change of clothes and good walking boots
- Fire extinguisher
- Tools for repairs, know if you vehicle is SAE or Metric (or both) and have the correct sockets and wrenches
- A friend with a vehicle similar to yours, to help in the recovery. While not always practical, it is the number one most helpful item. Between the two of you should have at least one of the following.
- Tow strap rated for more than either vehicle weighs
- Tow hooks mounted to the frame of your vehicle, if you have an AWD car or small SUV, this could be a problem
- Winch, truck mounted electric or hand operated portable
- Tree strap (protects trees if you need to winch to one)
- Extra cable or chain for longer reaches
- If no trees in the area, you will need a ground anchor
- High lift jack (also called a farmers jack) 36 to 48 inches high
- Axe with one sharp and one hammer side
- Saw for cutting branches
- Spare fluids for your vehicle, oil, transmission fluid, water. If you get stuck it is easy to overheat and boil off some fluids.
- Full size spare tire. Some spares are smaller than the other 4, if you drove a long ways on big tires, driving out on a small spare may not be possible.
The above is general and not exhaustive, there are a lot of variables you will want at least the above items and know how and when to use them.