Congrats...the STI is a great vehicle. If you want some advice from an '05 STi owner who has done about every mod in the book...
List of mods you should get in order:
1) Cobb AP
2) Turbo back exhaust
3) Cold air intake
4) Custom tune
5) Sway bars
6) Springs
The bang for your buck decreases dramatically after that list. I went through the progression of stock, stage 1, stage 2, pro tune stage 2, two upgraded turbos.
Stage 1 is a mild increase in power, nothing crazy. Stage 2 is really noticeable, huge gains. Getting a custom tune instead of the OTS map makes the car a torque monster down low. The intake isn't necessary for stage 2, might free up a few hp, probably more for sound.
A decent set of springs and sways will really make the cars handling come alive. I hate coilovers for street use, too expensive, too much overkill.
Unless you plan to seriously track your car a lot, do not go past the stock turbo, you get into a lot of necessary upgrades from there: intercooler, fuel pump, injectors, turbo inlet, etc, etc. If you're not scared of meth, a pro tuned stage 2 + meth will make an obscene amount of torque that'll cause you to giggle like a school girl when you mash the accelerator.
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