Start off with the exhaust. I went ebay 3in turboback for 150 bucks. Any wrx exhaust will do. The axle back will need to be extended though and some hangers rewelded, no problem for an exhaust shop.
Then do the coffee can mod, search for that on legacycentral. Its just an intake mod.
Im running the td04 and 07 tmic and it goes pretty good. You need a 90 inlet welded on to the turbo though, or buy a silicone one. But Im really looking forward to the vf23 that Mikes running right now. To run that I need 550cc Injectors, aka STI yellow top, front mount, ej25 heads, ej20ecu, and rob tune. The ej20 ecu and rob tune(a guy off of legacycentral, a site you should now join) make it run really good . Mike has had great success.