Cobb Accessport is really the base of all your upgrade paths. If you plan on doing anything past Catback exhaust then I would highly recommend getting one. Especially since the factory tunes on these cars is not fantastic. You can go to stage one with minimal work.
Just remember that you will need to tune for everything you do. If you get turbo back exhaust, you need a tune, if you get short ram you need to tune for it, if you get a BOV you need to tune for it even though you probably would not NEED one for quite awhile. If you tune for every mod you get you should be in the clear.
Also forgot to mention I am from your area. You will want snow tires on a set of crappy rims, or nice rims. You can get a set of scuffed rims and tire combo for fairly cheap. The 04 STi has the same bolt pattern that mates up. (5x100) every other year STi has the 5x114.3 rims.
13 WRX - Current - Nameless Axelback
03 Audi A4 1.8t SOLD
06 STi - Minor mods SOLD