Welcome to the club.
First Modifications - what to do and not to do
The catback is strictly personal preference - whatever you think sounds best (it adds no power).
The downpipe is where all the power is, but has little effect on sound. You have to have one with a cat or your car will potentially boost creep badly. To run a DP the car needs a new "map", which is basically the information or "tune" that the ECU uses. This will keep your car safe, make it run properly, and is required to get the power increase form the DP (it is actually the higher boost targets that make the big difference). MadDad, Invidia, Cobb are good ones.
Kronos has stage II packages with the Cobb AP as the tuning interface which includes the stage II map.
You don't need an intake - if you do get one make sure it is specified in the map notes - always follow the map notes or instructions exactly.
CHECK OUT Kronos's Accessport Stage Packages!
COBB Tuning . Subaru WRX AccessPORT . Map Listing
The cheaper alternative to the access port (AP) is opensource tuning. It is in some ways better than an AP but is less convenient.
OPENSOURCE TUNING: Your questions answered here!!! RomRaider + Tactrix