From what I've come across there's really not much of a no brainer for the WRX. It's a complicated but very amazing machine. I'd say don't go with synthetic until you need to change oil the first time, give everything time to seal up properly.
From what everyone's told me don't go with a K&N filter. It's not the best as far as keeping depris out of your engine. DON'T go with a cold air intake it'll mess up the air/fuel. Fine a nice quite cat back or find a used STI uppipe and put that on. It won't be much but it'll be enough to give ya a little more gains.