CherokeeCrawler -- I agree that an Aussie is your best bang for your buck. I've been running one for the past couple years and it has survived a lot of abuse. Any "carrier replacement" locker such as a Detroit, ARB, Eaton, Ox, etc. will also require you to re-set up the gears -- which is probably best left to a pro if you have no idea what I mean by this.
So I'm going to assume you are going to go after a locker like an Aussie that locks itself when power is supplied to it and acts as an open difff when there isn't any power to it.
Here is my take:
Locking front AND rear is ideal, but we all know the funds don't always let us do that.
Locking the front first has its merits and downfalls -- as does the rear. Both will give you newfound traction on your trail in any conditions, so either options is a very good one.
I (and others that I wheel with) locked the rear first -- while a few others locked the front first. The following are my observations, BUT they aren't indicative of EVERY possible situation. For example: I may like a rear locker better in the mud, BUT I'm sure you can come up with a situation where a front locker outperforms the rear. So consider my observations as generalizations, but of course results may vary.
My observations:
Normal road conditions: A front locker is invisible in 2wd (except you will hear it "ratchet" around the turns). A rear locker is manageable but you know it's back there and need to change your driving accordingly. Sure you can do two-wheel peel outs in 2wd, but you can also "slide" around turns if you are on the gas too hard while turning. The rear will also try to "push" you through the turn, so you might not be able to turn as sharp. A locker like an Aussie only "locks" when torque is applied to it, so it will act like an open differential if you coast around a turn. Edge: Front locker (except a rear locker can be a lot of fun once you get used to it, but cops don't like people sliding around turns so...)
Snowy/Icy Road conditions: In the snow, I'd prefer to have an open diff or LSD, but a locker is manageable. In 2wd a front locker is of course invisible, but can cause some major understeering issues in slick conditions if you engage 4wd. In 2wd, a rear locker will cause you to fishtail around basically every turn if the conditions are bad enough. Shifting into 4wd seemed to fix all problems with a rear locker in the snow. Edge: I'm going to call this a wash. I tend to prefer to stay in 2wd unless I need 4wd. Both require you to change your driving habits and can be manageable.
Muddy slick trails: I've found that a rear locker is more effective in "power" situations. Most of your power comes from your rear tires, so locking the rear gives you more traction where you get the most power from -- so it tends to be more effective. Edge: Rear
Hill climbs: This is another "power" situation, so I prefer the rear locker. However, there is a line of thinking that a rear locker can cause you to fishtail if the climb is slick or steep enough -- whereas a front locker will keep you straighter. I agree because I've seen that happen first hand, but in general, the rear locker will get you up more hills. Edge: Rear
Rocks: When crawling, you often need to "pull" yourself up onto a rock, so a front locker is generally better. Once you pull yourself on the rock, you can usually "bump" the rear over. You can't always have enough traction to "push" yourself on to a rock (i.e. with traction in the rear). Edge: Front locker
Ledges: Whether it's a rock ledge or muddy ledge, this is another situation where you need to pull your front end and can normally bump your rear over. You can't make it up a ledge if you can't get your front tires up. Edge: Front locker
Again, these are general statements, but I've also wheeled in TN/KY, which is similar terrain to what you would be wheeling in. Even if you find a rocky trail, it's more than likely going to be really slick -- which requires a lot of power. I would lock the rear first, but I also wouldn't turn down a deal on a front locker if you find one...
And if you were out west where folks wheel on flypaper -- I would probably recommend a front locker.