Are probably two good threads to browse over. Apply a lot of common mods to imprezas. Some of the mods that are common (intake for example) aren't as beneficial on these cars, and some weird ones are oddly useful.
Tuning is also normally required to get any form of gain out of your mods. That being said if all is in good condition and you have nice tires, I'd say start looking into some engine management options. Open source is cheap if you are ambitious. Cobb/Perrin use an access port that is pretty user friendly, but only uses "Off the shelf" maps and is pretty pricey. Can always get a pro tune too.
Most install a turbo back exhaust (down pipe/cat back) and get a tune (normally called "stage 2" if you feel so compelled). Past this, engine mods start to get more costly/hp.
Bunch of easy to do suspension mods that help out a lot too. Sway bars and bushings seem to really make a big difference.
Enjoy your ride, and post some pictures, old cars too =)