Thanks to EJ257 for providing the details for #7-12!!
7) Heat wrap/coatings
Two benefits: increased exhaust velocity by keeping the gases hotter, and reduction of radiant heat into the engine bay (decreased heat soak). Headers / Exhaust manifold, uppipes, and the front half of the downpipe (the rear half doesn't really contribute to heat soak) all would benefit from this modification.
8) Exhaust Manifold P&P, crosspipe.
The inlets are all opened up to make a smoother airflow. Increased exhaust velocity decreases spool time; shifts powerband to the left and power gains are ~10hp/tq. Headers tend to crack over time, but the exhaust manifold is cast iron. While it's off for PnP, if you intend to use an EGT gauge, it's a perfect time to tap the manifold.
9) 3-port BCS - MUST BE TUNED
Allows better boost control, and retains the ECU as the medium for managing boost. [Ron/Jeremy could probably do a better job explaining this one]
10) External Wastegate - MUST BE TUNED
An uppipe with a valve that diverts gases pre-turbo at a specific pressure (based on wastegate spring), which essentially simulates a huge hotside. This allows for more power and better boost control. The two most common sizes are 38mm and 44mm, and can be vented to atmosphere (louder, more efficient) or plumbed back into the downpipe for reduced noise (less efficient). Expect a power increase of ~10+hp/tq. Tuning required for good gains and verify safe boost response.
The EWG FAQ (External Wastegate) - IWSTI.com: Subaru WRX STI Forums
11) Meth/water injection - MUST BE TUNED. High risk if it fails
Two benefits: chemical intercooling and increased octane, which decreases the chance of knock. This allows for the use of more boost, leaner AFRs, and increased timing; power increase is ~20+hp/tq. Failsafe(s) and gauges (Boost / WBO2) are strongly recommended.
12) E85 - MUST BE TUNED
Inexpensive fuel that features increased octane to decrease detonation, and allows for more boost/timing, leading to increased hp/tq. Requires fuel pump and injector upgrade (~30% larger), and not readily available in all areas (see here for availability). Difference between summer and winter blends may require slight modification to the ECU parameters. You should evaluate the potential issues surrounding running this in a non-flex vehicle for yourself but it is well proven on WRX & STi.
The OFFICIAL E85 ARMY THREAD - NASIOC
13) Turbo Inlet - Does not require a tune. Mainly a reliability mod. and increases flow. MANY stock inlets on older cars have ripped - this leads to un-metered air being sucked into the intake after the MAF = lean = bad. Since this is a reliability mod, get something reliable. An "afta-maf" hose (if not included with your intake or inlet) is also highly recommended as sufficient hose clamp tightening to prevent leaks caused mine to crack over time.