Some good tips so far.
In HOn3 steam, probably 90%+ of all locos imported are Rio Grande prototype. After that, there are logging, C&S and EBT, all of which tend to be rare enough to fetch good prices on the used market. So not much to work with if you’re wanting something completely different.
Chassis mods? Assuming you include drivers, etc, this is a place on experts should venture. Things have to be square and true and that is harder than it may seem at first.
Electrical? Pretty much the same as any other loco. Except for wipers. Add as many as you can for contact on both rails. Practice on the cheap stuff before shifting to the expensive stuff.
Body mods? You’re kind of stuck with the boiler, but lots of other appliances, etc can be changed with the detail parts now available.
If you really want to bash HOn3 locos, a good place to start is with diesels. Lots of options, cheap material to work with, good locos once done. For more, see some of mine:
http://cs.trains.com/mrr/f/88/t/215880.aspx