Like stated above, do the rear sway bar first with endlinks, then move onto tires and strut tower bars.

Later on you can do Springs & struts (KYB AGX's just came out for the WRX) or do Koni inserts. Or you can co balls out and opt for coil overs.

Performance wise do the up pipe and down pipe, then the rest of the exaust system. After that you can ECUTEK it.

Be prepared to spend quite a bit more than you would normally spend to mod a honda.