I know this is an old thread, but I'm going to chime in here.
I'm currently rolling around in a stock 04 colorado z71.
They're great platforms,but like any other vehicle, they also have some weaknesses. The 4 and 5 cylinder trucks have very few options for lockers. Z71s come the the g80 (which is an automatically locking diff), and they do work quite well. If you can source an 8.6" axle from a v8 colorado, it's a direct swap, and you have way more options.
The front differential isn't strong enough to take a locker, since it's an aluminum housing. Several people have swapped them for a cast iron diff from an h3, but those are really hard to find.
The steering rack bushing has a tendency to break from heavy off roading. Mayhem Metal Works makes a much stronger replacement part for 200 that solves the problem.
Cv axles are notorious for breaking without doing a differential drop.
The stock transmission cooler (on automatic equipped trucks) is pretty inadequate for the truck. Adding an auxiliary cooler (fairly easy job) helps tremendously to keep your transmission in a healthy condition.
The last big one is the valves in the cylinder head. From 04-08, GM used sub-par valve guides. This causes the valves to not function properly, which will cause misfires, bad gas milage, and other issues. A valve job (about $300-$500, if you can get the head off yourself)solves the problem.
All that being said, these are fairly capable trucks. My truck has 182k on the odometer, and is still purring along. I definitely have some maintenance stuff I need to take care of (new radiator, drivers side cv, diff seal, and transfer case output seal), but parts are cheap, and they're fairly easy to work on.
You can also source mods from overseas for a dmax. Most parts that fit an 04-12 dmax and holden colorado will fit the us models.
If you have any questions, let me know. If nothing else, I can try and point you in the right direction.
