Hey Dylan, I also have a 2005 WRX. I started with some pretty simple things that made it a lot of fun, then just recently took it a bit further to make it pretty damn fast too
The first mods were:
Complete exhaust with ported headers, catless uppipe, catless downpipe, wide open 3" all the way back. I dont have any cats, (still legal in Nebraska) or a muffler. I did a port and polish on the stock turbo, put some samco intercooler hoses which are smoother and make for a little bit quicker spool, and dropped in a K&N panel filter. I still use the Cobb accessport, and I used their standard 91 octane stage 2 map. The result at that point was a really quick spooling turbo with a mid range torque curve, but I noticed it let up just a bit above 5750rpm or so. Still, a VERY fun car to drive. Logged a 0-60 in 5.2sec on a hard launch.
Recent mods include the vf39 turbo from the STI, also ported and polished, STI intercooler, and 600cc injectors. The bigger turbo should in theory have more lag, but the PnP, along with the bigger intercooler, pretty much eliminate that. I have also swapped the flywheel for about a half-weight one, and a heavier duty clutch, both by ACT. The lighter flywheel really helps all around response. Don't go too light though, like race-spec or whatever, as it will be way less friendly to drive. I still use the COBB map, but it is different for the bigger turbo and injectors, and has some issues that I still need to fine tune out of it. The result here is still a very quick spooling turbo, maybe just a hair slower but not so you'd notice, but it doesnt drop off at the top end, just keeps on pushing all the way to redline.
Cost of parts for the first stage:
Didnt have to buy anything for the PnP on the stock turbo. Just a dremel, and I had my mechanic do it because he has experience.
The full exhaust (catless u/p, catless d/p and straight pipe to the rear) probably cost about $300 (generic parts from Ebay, makes no difference w/ just straight pipes)
K&N filter was about $50
The AccessPort will cost whatever you can find one for.
Not very expensive, very fun, reliable, and still very driveable. Smaller diameter (but not TOO small) uppipe helps too, keeps exhaust gas velocity high as it gets to the turbo.
Next stage of upgrades:
vf39 turbo i got for $400
STI intercooler was $240
600cc injectors were $190
With whatever labor, unless you can do all of this on your own.
Still pretty affordable, Quite a bit faster car, still very reliable/driveable. A little bit loud in my case, but not nearly as loud as some, bearable.
Anyone else, feel free to throw in anything I've forgotten, and I will do my best to respond.
Hope it helps, feel free to email or PM any questions you have.