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I am starting my research on towing capacity for my 2000 Explorer. I have installed a class 3 hitch and plan on getting a weight distribution set-up for it. I also am planning on putting a tranny and oil cooler on it. I have also done a couple of up grades for a little added horse. We are looking at a Hybird travel trailer. Which is the pop-out. The dry weight is 4660 lbs. I am looking to see if any one has pulled this much weight if not more since I still haven't included all the supplies into it. Also I am looking at the trans controller off Explorer Express for some added shifting.
I have pulled that much weight and more with mine. The number one thing I would tell you to get is a brake controller and have trailer brakes on your trailer. Just because you can pull it doesn't mean you can stop it. Downhill, you will be trying to stop 10,000lbs+ on the X alone.
What budget are you on if I can ask. If you are looking for extra power, I would suggest a set of Torque Monster headers also. They will make a huge difference - not only for towing, but for daily driving also.
If you have the 5.0, you already have a tranny and oil cooler stock. Adding another won't hurt anything though.
I would also look at the Baumann mechanical shift kit for the tranny. It does a great job and can extend the life of the tranny. I run both the Baumann and the Jet electrical kit (from Explorer Express) on mine...