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I just got myself a 2002 wrx wagon and it is complete bone stock. Im looking to go a little faster then it is now but I'm not really sure where to start. What do I do first?

Sincerely,
I like to go fast :)
 

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And how do you choose an exhaust. I want a custom built one that comes out the side of the car instead of the back end and I like it to be loud but is there a point in which you give up HP gain for it?
 

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And how do you choose an exhaust. I want a custom built one that comes out the side of the car instead of the back end and I like it to be loud but is there a point in which you give up HP gain for it?
If you're looking for custom, you'd have to ask around your local exhaust shops to see what they can do. I'm not sure where you plan on having the outlet being these cars are pretty close to the ground but call around. You will not lose power with a larger exhaust, but you won't gain any either unless you go with an aftermarket downpipe and a tune
 

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IMO headers are a waste of money your stock manifold is fine, also if you do want headers get unequal length if you get equal length then you will lose your boxer engine sound. and if you want it loud go straight pipe.
 

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A catback, if done alone, will not yield output gains like a turboback exhaust. I straight pipe is just that, a straight piece of pipe, so I don't know how to address your direct question. Exhausts are generally discussed in terms of their start points. If they start at the turbo, they're a turbo back; if after the cats, they're a cat back, and so on.

The advantage to a cat back is that it will not make your car illegal.

The first thing to do with your wagon is to bring it completely up to date on the required maintenance. Look in the owner's manual and make sure everything listed is completed according to your age and miles covered. From there, improve the car from the ground up and inward, as a car that can stop and turn better is by definition faster than one that cannot, and the car already makes adequate power (those that don't believe me might consider how soon they find themselves lifting off before bends, and how late they find themselves accelerating out of bends...).
 
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