The first thing you should do is take that intake off. Do a little search on here and you'll see that they are not a good match with our cars.
Next you should look into the Cobb Accessport and flash a Stage 1 map on your car.
After that you can get a downpipe, uppipe, and catback system. You'll want to go with quality brands if you want it to fit right and last a long time.
Hit up craigslist, ebay and the classified forums. You'd be surprised on how much you can save.
2005 WRX Cobb Stage 2