Locker, Front or Rear?
You obvisuly get more bang for your buck off-road by locking the front, but, it introduces more quirks than a rear locker. On tight twisty muddy trails, the front locker will cause your front tires to push forward rather than steer. This can be a major pain, as the Jeep wont' want to steer, it will just go straight no matter how much you turn the wheels. Now this doesn't happen all the time, most of the time you can steer, but when it does happen, I'm often forced to shift into 2WD to make a turn on the trail. Also remember this quirk will also happen in the snow and ice in 4WD, usually getting on the gas and turning the wheel the way you want to go will fix the problem, but its definitely something you must be aware of. Also note that the steering will fight you some with the front locker. If you have a YJ with a vacuum disconnect you driveshaft will spin all the time, which in rare cases can cause vibrations, that require the front shaft to be balanced or repaired to eliminate. The upside to the front locker though, is while in 2WD all these quirks disappear (unlike a rear locker), as there is no load on it.
As for locking the rear, the first thing to do is make sure you don't have a Dana35, if you do, forget this option. If you have the Dana44, then locking the rear is an option. Locking the rear won't give you the steering quirks that the front locker will, but the Jeep can get a little squirrely in the rear in slick conditions. Remember too that the lockers are only engaged when there is load on them, so a rear locker will recieve more wear and tear than a front locker since it is always under load (Lockers do eventually wear out, but it takes a long time).
With a locker in either axle, you will need to adjust your driving habits, lockers introduce quirks that can be un-predictable at times, and you need to be paying attention to the road at all times.
Obvisuly locking both axles is even better, but generally my advice is to lock the front first.