Not to scare you away, but at that power level a transmission build will be needed eventually, trust me on that one. First thing tho would be to read up on Engine Management and decide what would be best for you, or where you are located (i.e what tuners are available and all). Then one of the best and easiest mods is a Down pipe with a stage 2 flash/tune. Usually any modding after this requires a little more of a custom map per your cars needs.
"2007 WRX- PPG'd, 20G- Tim Bailey tuned
Stage 2 2005 WRX