^Synthetic every 3750 is the best bet, like Jar man said, replace filter every time. It's pretty easy to keep up the maintenance yourself. All you'd end up paying is for parts on the basics. Oil and filter/crush washer. DIY will mostly be cheaper for Oil changes and are easy. But talk to the dealer to see if they have any incentives or specials for oil changes...brake pads and rotors are are easy. Pads won't need to be changed til probably near 30k or later. Rotors, probably not til 50-60k even. Pads can be anywhere from $70-150+ for all 4 corners, depending on what performance you're looking at. Plugs are a bit of a pain to get to because of the boxer engine, but again, still not that bad. All in all maintenance is average and will be pretty cheap or on par with any other car if you do it yourself.
I'd skip on the SPT exhaust from the dealer. For one, it's way too overpriced. For two, it's known to drone rather loud when cruising on the 5 door. You can find a lot of other aftermarket options down the road, for much cheaper. You will also be able to find used options in great condition for fractions of new cost. As for performance...there won't be any. CBEs on WRXs (of any year really) are just noise makers, or silencers. The real restriction comes with replacing the downpipe which is attached to the turbo, or the portion before the Catback (the dealer has no aftermarket option for this, unless they stock or sell other aftermarket parts, which is highly unlikely). Doing this will require a comparable Stage 2 tune to properly run the downpipe.
OEM short shifter isn't a bad option, but it only shortens the throws by about 10% over stock. It achieves this by shortening the linkage to the transmission. It's not that overwhelming of a difference. Again, aftermarket options such as Kartboy, will be much cheaper and will shorten throws 20-25%, and shorten the lever itself which are better for performance.
Boost gauge simply tells you how much boost the turbo is creating, and pushing into the engine. It really has nothing to do with when you should shift. It does give you an indication of your powerband though simply because more boost means you will be utilizing more power. You should shift based on the feel of the engine, rpms, and how you're driving at that particular moment.
As for the short shifter, this varies by personal preference. Test drive first. If the throw is WAY too long for you, don't waste your money on the OEM short shifter, as it won't be enough. Take it from the guy with the OEM and Cobb installed.