"getting a COBB"?? I don't know what this is, Cobb is a manufacturer that makes all kinds of things.. but I would assume you're thinking about purchasing an Access Port?
There are several good exhaust systems to consider. When you say the "WHOLE" exhaust system I would assume you mean an uppipe and turboback? Which isn't actually the whole exhaust system. Are you looking for headers as well? [Invidia makes a decent affordable turboback]
I don't think Cobb has OTS maps to use with aftermarket intakes for your car, and you would get much better results with a real tune rather than a base map, so I would recommend talking to the tuner of your choice and seeing if they would want to do an open source tune for you. I don't know about removing a foglight.. I've done a lot of modding to 2002 WRXs and I did have to swap to Hella foglights for my FMIC, but I still have two functioning foglights.