2nd: You will need a tune. Read up on Cobb AccessPort. I think that should be your first mod. Intake is probably not worth it as a first wave of mods IMO. Your stock airbox can handle significant power. Some people have gone with Stage 1 and the SF intake and have seen nice gains though. Might want to look around for people who just have a tune and the SF intake.
3rd: It's buyers choice as they are both good products. I would definitely recommend upgrading all of the shift bushings, rear stay, front stay, etc. Takes away a lot of the slop that the mushy OEM bushings have. Bushings and SS would be my very first mod if I was in your boat.
4th: Are you talking just a catback or a full turbo back which would be your DP, midpipe and CBE? Cat back will give you no gain in power but will sound nice. COBB vs. SPT quality wise is up for debate. If I was going to spend that kind of cash I'd probably go with COBB. Look at Invidia Q300 also as that's a nice quality exhaust. About the warranty: if a part you put on the car causes a failure, and they can point to it and say that it is the cause, they will not cover your repair under warranty. That being said, a cat back exhaust is very unlikely to cause a failure. If you do the complete turboback exhaust, without a proper tune, you are much more likely to see a failure.
Cliffs Notes: I think you should figure out what your goal is with the car. If you want to do performance and are new to Subaru's and/or performance mods, start reading about the COBB AP. That is a great first mod. Then look at both the SF intake and the cat back. I would not do a down pipe until you are out of warranty but that's just me. SS and bushings are also great early mods. Also keep in mind, while COBB does have quality parts, you will pay a premium for them because of COBB's reputation. There are other manufacturers (Invidia being one that I mentioned) making great parts as well for a lot less if you're into a budget.