Personally, I would get an uppipe and downpipe first. Aside from sounding nice, a catback exhaust doesn't give you any kind of power until you take care of the uppipe and downpipe, which are by far the two most restrictive sections of the 02-05 WRX stock exhaust system.
You can get an uppipe and downpipe combo from ERZ for $215 shipped. An uppipe and downpipe will free up a nice chunk of power (an honest 20-25whp) and eliminate a crapload of turbo lag. Furthermore, an uppipe and downpipe will make the stock exhaust a good deal louder, so you get a little bit of bark to go with your newly-aquired bite.
That's the route I'd go. Your car will run so much better, sound a bit more aggressive, and it's way less money out of your pocket. On the other hand if you get a catback, your car will sound better, but won't be any quicker, and your pocket will be way way lighter.