A few of the first items I did:
1. DEBAGED: I debadged the car completely, front wrx and all 4 rear emblems. This cleans the car up wonderfully to me. I did not need to remove the front bumper, but I took off the top 4 plastic anchor points and got a dremel tool down there and shaved off the 3 supports on the wrx logo. It took 10 minutes tops. Easy and worth every penny. The silver side mouldings now seem out of place.
2. SPT STS: The car came with the SPT STS - thrown into the purchase price. The MSRP is around $300, and for that I would just buy the Cobb or Kartboy STS for half the price and be done with it. However, as the dealer threw in this part for 'free' to close the deal, I don't mind it too much. The throws are somewhere between stock shifter and Cobb STS - I personally would like them a bit shorter, but this is a very good every day type shifter - very similar to my wife's Mazda3 stock 6-speed shifter in throw length. I'd probably get a Cobb STS if I had to do it again.
3. OPTICOAT: I opticoated the car. This wasn't too bad on the DGM, but when I tried to do my wife's metallic white car, it was impossible to do because you just couldn't see the product well enough to make sure it had flashed off properly. Overall, the Opticoat was rather easy to install, and it took about 4-5 hours for me to do the entire car and make sure it had all flashed off. I checked it first thing in the morning for anything I missed. The product seems to work rather well, much like a very good coat of wax/sealant I think. Supposedly it helps remove some of the inevitable road sandblasting we get in Massachusetts, so we'll see. It seems to have made the clear coat look a bit thicker (deeper?) than other DMG cars I've seen, but that could be because it's new, or because I try to wash once a week as well. I am not sure it's worth it yet versus getting vinyl coating on the front. I plan on touching up the front bumper and redoing this yearly.
4. RALLY ARMOR MUDFLAPS: I installed Rally Armor mudflaps (black with dark grey lettering). I love them, they really do keep crap off the side of the car, but I'm not a huge fan of the rather rough edges, or the space that is left between the car and the bracket on the front set of flaps (leaves get in there too easily). I'm not 100% sold on the looks of them, but they do serve their purpose, so they are worth it to me. The dark grey matches the DMG color of the car almost perfectly.
This is after a drive home through some snow, slush, salt, sand and leaves. I didn't clean anything off of anything, and you can see the muds do their job well.
5. SHIFTER BALL: I installed the Cobb Shifter ball with red trim. Color-wise the ball looks great, but I think the ball could use a bit more weight to it to help the shifter feel, but that's me. Overall it's a nice product, well made with clean looks. 5 minute install. I'll be keeping mine until I get a personalized one at a later date.
You can see the whole set up here - even though the car is a mess Shifter ball, gauges, etc.
6. FORGE BPV: I don't hear it much yet, as I'm still stock boost, but it's a very stealthy change for a much better BPV. I sometimes want to have a hybrid blow off valve for the noise (cause my mom didn't hug me enough, probably), but it is nice
to be stealthy. Very easy install, mated perfectly, and it's sort of a no-brainer install, for me.
7. PERRIN SHORTY ANTENNA (2"): I like how it looks, but it cut my radio reception in half. If you like your radio and live in a rather secluded place, don't get it.