My suggestion would be to start off with mods that will let you enjoy the drive everyday and be useful. Some mods that you may put $2,000.00 into that touch the engine could quickly spiral into $2,000.00+ (ex: turbo-back exhaust, then you'd need a tune, then you'd probably want sway bars and a stiffer suspension, new tires, etc. etc.).
IMO go with a Short Shifter & bushings, dedicated winter tires and steelies (or just rims you wouldn't mind beating up a bit), a better shift knob, and clear bra install since the paint on subies is really fragile. Also along the lines of paint, it would probably be a good idea to tell the dealer not to detail it and take it to a professional detailer who will put opti-coat on it or do it yourself. This will make the car easier to clean, keep it cleaner longer, take out alot of the paint imperfections that come from the factory, as well as protect the paint.
Those will all be noticeable and useful improvements that will improve the life of your new car as well as make it more fun to drive. A plus is that everything is reversible if you want to bring it back to stock.
*edit* left out detailing