I own a 2007 WRX and have been modding it for awhile. Start with this: Get a 3" turbo back (I have Invidia and love it), K&N panel filter for the intake, and a Cobb Accessport. Run the stage 2 tune and you will be happy for awhile. Its a good kick in the pants over stock and you can go from there with further mods.
Down the road you can amass a bigger TMIC, VFxx, uppipe, EWG, EBCS, injectors etc etc and put them all on at once and get a pro-tune. Take it slow, get to "Stage 2" first and I bet you will be happy for awhile.