If you want power, look at an aftermarket bellmouth style downpipe and stage 2 tune. This can be done relatively inexpensively (a few hundred bucks if you shop around) and will give you a very noticeable gain over stock.
If you're interested in handling, look into front and rear sway bars and endlinks. This will probably also cost several hundred bucks, but the improvement over stock is astounding. If you get medium-sized bars and solid endlinks, the body roll that you currently have will feel like it's completely gone.
Tires are probably the single biggest improvement you can make on these cars. Ideally, two sets of tires and wheels is the way to go: dedicated summer and winter tires with appropriate wheels (narrower for winter, wider/lighter for summer).
I don't know what your budget is, but if you have several hundred bucks to throw around, those are definitely some of the "best bang for your buck" mods.
07 WRX (Albins 5MT + Blouch 20G)
Jorge Carrillo Tuned (365 whp/340 wtq)