I also would suggest starting with the exhaust(downpipe/uppipe). I would pass on modifying the intake, blow off, mbc and maybe even the crank pulley. I would pickup an adjustable rear sway bar and new tires if the car is going to see any track time or any Solo events.

Some pictures of my WRX: http://www.majjix.com/gallery/wrx/ (yes, i'm totally a dork.)