Get a locker and put some 31" mud tires on the back for traction. I'd have them on an extra set of rims (like some steel rims) that way you don't have to listen to them hum when you're not using the truck for play (and muds wear out faster than less aggressive tires). The more aggressive the rear tire, the better (Super Swamper Boggers will get you places!)
There are some ORV parks around the country but we're starting to lose a lot of them partly because of people who will go tear up a farmer's field or people who throw trash everywhere.
The other option for playing around offroading is the one I originally took. That was to look around and pick up a cheap Bronco II to play with. Parts are cheap and plentiful for them and they're easy to learn to work on your own stuff an build up. My lifted choptop has a total of about $1,650 invested in it right now including what I paid for the truck. By having a cheap playtoy with 4x4, you can go out and have fun on a weekend and if you break something, you still have a truck to get to work on Monday with.