One of the greatest things I have ever modded on my body would be my Prince Albert piercing. I had my frenum pierced at one point but never really liked the look or feel.
One cool thing you can do with a PA piercing for chastity is add a lock:
It also allows you to add a layer of security to almost any chastity via attachments that prevent you from pulling out of the back of the tube. Some companies like Steelworxx carry these for their collection: