ciffer,
I changed the ball joints on my front axle last week, so it's still pretty fresh in my mind.
I would not change the u-joints, axle shafts or wheel bearings unless they needed it. I would, however repack the wheel bearings and in so doing you'll have to replace the wheel hub seal.
Technique wise: Remove the steering arm on the left side before working on the left side ball joints.
I removed the lower ball joint nut and the upper ball joint nut which I then reinstalled upside down (so the castellated side is down) and would provide a bigger surface to smack. I used an 8 lb sledge hammer to strike that ball joint nut sharply and after two or three whacks they were loose.
I bought one of those ball joint preload sockets on line for about $16.00 shipped. I also recommend the Harbor Freight Ball Joint and U-joint press. They're about $35.00 or so. Use a 1/2" impact wrench with that and it'll do a nice job of removing the old ball joints and installing the new ones.
I opted for OEM ball joints, they were about $100.00 for the four, but I think they're worth it. Ball joints are not a particularly fun job and dealerships and other shops charge big bucks for this. I wanted quality parts that will last a long time as opposed to some cheap crap from China.
Doing it yourself, even after buying the special tools, your savings will be in the hundreds of dollars.